blackrock income trust

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Shareholder Letter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3Annual Report:Trust Summaries . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4The Benefits and Risks of Leveraging . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12Derivative Financial Instruments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12Financial Statements:

Schedules of Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13Statements of Assets and Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63Statements of Operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65Statements of Changes in Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66Statements of Cash Flows . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 68

Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 70Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74Report of Independent Registered Public Accounting Firm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 94Important Tax Information . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95Disclosure of Investment Advisory Agreements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96Automatic Dividend Reinvestment Plans . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100Officers and Trustees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 101Additional Information . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 104

Table of Contents

2 ANNUAL REPORT AUGUST 31, 2014

Dear Shareholder,The latter part of 2013 was a strong period for most risk assets such as equities and high yield bonds,despite the mixed tone of economic and financial news and uncertainty as to when and by how much theU.S. Federal Reserve would begin to gradually reduce (or “taper”) its asset purchase programs. Stockmarkets rallied in September when the Fed defied investors’ expectations with its decision to delaytapering. The momentum was disrupted temporarily, however, when the U.S. debt ceiling debate led to apartial government shutdown, roiling financial markets globally until a compromise was struck inmid-October. The remainder of 2013 was generally positive for developed market stocks, while fixedincome and emerging market investments struggled as Fed tapering became increasingly imminent.When the central bank ultimately announced its tapering plans in mid-December, equity investorsreacted positively, as this action signaled the Fed’s perception of real improvement in the economy.Most asset classes moved higher in 2014 despite the pull back in Fed stimulus. The year got off to arocky start, however, as a number of developing economies showed signs of stress while facing the onsetof diminishing global liquidity. These risks, combined with disappointing U.S. economic data, causedequities to decline in January while bond markets found renewed strength from investors seekingrelatively safer assets. Although these headwinds persisted, equities were back on the rise in February asinvestors were relieved by a one-year extension of the U.S. debt ceiling and market-friendly commentsfrom the Fed’s new Chairwoman, Janet Yellen. While it was clear that U.S. economic data had softened,investors were assuaged by increasing evidence that the trend was temporary and weather-related, andcontinued to take on risk with the expectation that growth would pick up later in the year.In the months that followed, interest rates trended lower and bond prices climbed higher in the modestgrowth environment. Financial markets exhibited a remarkably low level of volatility despite risinggeopolitical risks and mixed global economic news. Tensions in Russia and Ukraine and signs ofdecelerating growth in China caused some turbulence, but markets were resilient as investors focusedon signs of improvement in the U.S. recovery, stronger corporate earnings and increasedmerger-and-acquisition activity. Importantly, investors were comforted by reassurance from the Fedthat no changes to short-term interest rates were on the horizon.In the ongoing low-rate environment, investors looked to equities as a source of yield, pushing majorindices to record levels. As stock prices continued to move higher, investors soon became wary ofstretched valuations and a new theme emerged. Stocks that had experienced significant priceappreciation in 2013, particularly growth and momentum names, broadly declined as investors fled tostocks with cheaper valuations. This rotation resulted in the strongest performers of 2013 struggling mostin 2014, and vice versa. Especially hard hit were U.S. small cap and European stocks, where earningsgrowth had not kept pace with recent market gains. In contrast, emerging market stocks benefited fromthe trend after having suffered heavy selling pressure earlier in the year.However, asset prices tend to be more vulnerable to bad news when investors believe valuations arehigh. Consequently, markets came under pressure in July as geopolitical turmoil intensified in Gaza, Iraqand Ukraine and financial troubles boiled over in Argentina and Portugal. Investors regained confidencein August and, although volatility ticked up, markets rebounded as low rates and an improving U.S.economy trumped full valuations and lingering geopolitical risks. Concurrently, a slowdown in Europe’srecovery fueled hopes for further monetary accommodation from the European Central Bank, drivingglobal equities higher. Additionally, lower yields on European sovereign bonds made U.S. Treasuriesmore appealing by comparison, contributing to the persistence of low rates in the United States.Despite a host of challenges, most asset classes generated solid returns for the six- and 12-monthperiods ended August 31, 2014, with equities generally outperforming fixed income. Emerging marketequities delivered impressive gains. Developed markets also performed well, although the expensive U.S.small cap stocks lagged in 2014. Most fixed income assets produced positive results even as the Fedreduced its open-market purchases. Tax-exempt municipal bonds benefited from a favorablesupply-and-demand environment. Short-term interest rates remained near zero, keeping yields onmoney market securities close to historic lows.At BlackRock, we believe investors need to think globally, extend their scope across a broad array ofasset classes and be prepared to move freely as market conditions change over time. We encourageyou to talk with your financial advisor and visit blackrock.com for further insight about investing intoday’s world.

Sincerely,

Rob KapitoPresident, BlackRock Advisors, LLC

Asset prices pushed higher over theperiod despite modest global growth,geopolitical risks and a shift towardtighter U.S. monetary policy.

Rob KapitoPresident, BlackRock Advisors, LLC

Total Returns as of August 31, 2014

6-month 12-month

U.S. large cap equities(S&P 500T Index)

8.84% 25.25%

U.S. small cap equities(Russell 2000T Index)

(0.06) 17.68

International equities(MSCI Europe, Australasia,Far East Index)

1.24 16.44

Emerging market equities(MSCI EmergingMarkets Index)

14.52 19.98

3-month Treasury bills(BofA Merrill Lynch3-Month U.S. TreasuryBill Index)

0.02 0.05

U.S. Treasury securities(BofA Merrill Lynch10-Year U.S. TreasuryIndex)

4.35 7.07

U.S. investment gradebonds (Barclays U.S.Aggregate Bond Index)

2.74 5.66

Tax-exempt municipalbonds (S&P MunicipalBond Index)

4.21 10.55

U.S. high yield bonds(Barclays U.S. CorporateHigh Yield 2% IssuerCapped Index)

2.89 10.57

Past performance is no guarantee of future results. Index performance isshown for illustrative purposes only. You cannot invest directly in an index.

Shareholder Letter

THIS PAGE NOT PART OF YOUR FUND REPORT 3

Trust Overview

BlackRock Core Bond Trust’s (BHK) (the “Trust”) investment objective is to provide current income and capital appreciation. The Trust seeks to achieve itsinvestment objective by investing at least 75% of its assets in bonds that are investment grade quality at the time of investment. The Trust’s investmentswill include a broad range of bonds, including corporate bonds, US government and agency securities and mortgage-related securities. The Trust mayinvest directly in such securities or synthetically through the use of derivatives.

On June 6, 2014, the Boards of the Trust, BlackRock Income Opportunity Trust, Inc. (“BNA”) and BlackRock Income Trust, Inc. (“BKT”) approved thereorganizations of BKT and BNA with and into the Trust, with the Trust continuing as the surviving fund after the reorganizations. At a special meeting ofshareholders on September 30, 2014, the shareholders of the Trust and BNA approved the reorganization of BNA with and into the Trust, which is expectedto be completed in late 2014. The reorganization of BKT with and into the Trust was not approved by BKT shareholders. Consequently, the reorganization ofBKT with and into the Trust will not be completed.

No assurance can be given that the Trust’s investment objective will be achieved.

Portfolio Management Commentary

How did the Trust perform?

• For the 12-month period ended August 31, 2014, the Trust returned16.78% based on market price and 16.09% based on NAV. For the sameperiod, the closed-end Lipper Corporate BBB-Rated Debt Funds(Leveraged) category posted an average return of 13.73% based onmarket price and 11.63% based on NAV. All returns reflect reinvestment ofdividends. The Trust’s discount to NAV, which narrowed during the period,accounts for the difference between performance based on price andperformance based on NAV. The following discussion relates toperformance based on NAV.

What factors influenced performance?

• In a generally positive environment for fixed income markets, spreadsectors, including investment grade credit and securitized debt, performedwell given strong market fundamentals as well as net negative supply,particularly in corporate credit securities. The largest contributors to theTrust’s performance were positions in corporate credit, specifically highyield, as well as capital securities and investment grade industrials. TheTrust also benefited from exposure to US Treasuries and commercialmortgage-backed securities (“CMBS”), non-US dollar positions,sovereign-related debt and agency mortgage-backed securities (“MBS”)30-year pass-throughs.

• Based on the view that short-term rates would remain low, the Trustmaintained a high level of leverage to augment income generationthroughout the period.

Describe recent portfolio activity.

• The Trust’s allocations remained consistent throughout the 12-monthperiod, with its largest position in investment grade corporate credit,followed by allocations to high yield corporate credit and securitizedcredits, including CMBS and asset-backed securities (“ABS”).

Describe portfolio positioning at period end.

• At period end, the Trust maintained diversified exposure to non-government spread sectors including investment grade credit, high yieldcredit, CMBS, ABS and non-agency residential MBS. The Trust also heldexposure to government-related sectors including US Treasury securities,agency debt and agency MBS. The Trust ended the period with a longduration profile.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. Theseviews are not intended to be a forecast of future events and are no guarantee of future results.

Trust Summary as of August 31, 2014 BlackRock Core Bond Trust


Trust Information

Symbol on New York Stock Exchange (“NYSE”) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . BHKInitial Offering Date . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . November 27, 2001Current Distribution Rate on Closing Market Price as of August 31, 2014 ($13.64)1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.64%Current Monthly Distribution per Common Share2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $0.0755Current Annualized Distribution per Common Share2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $0.9060Economic Leverage as of August 31, 20143 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29%

1 Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, netrealized gains and/or a tax return of capital. Past performance does not guarantee future results.

2 The distribution rate is not constant and is subject to change.3 Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of

liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 12.

Market Price and Net Asset Value Per Share Summary

8/31/14 8/31/13 Change High Low

Market Price . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $13.64 $12.50 9.12% $14.00 $12.27Net Asset Value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $15.24 $14.05 8.47% $15.24 $13.82

Market Price and Net Asset Value History For the Past Five Years

Overview of the Trust’s Long-Term Investments

Portfolio Composition 8/31/14 8/31/13

Corporate Bonds . . . . . . . . . . . . . . . . . . . . . . . 56% 58%Non-Agency Mortgage-Backed Securities . . . . . 10 11U.S. Treasury Obligations . . . . . . . . . . . . . . . . . 10 8U.S. Government Sponsored Agency Securities . . 9 10Preferred Securities . . . . . . . . . . . . . . . . . . . . . 8 5Asset-Backed Securities . . . . . . . . . . . . . . . . . . 4 5Municipal Bonds . . . . . . . . . . . . . . . . . . . . . . . 2 2Foreign Agency Obligations . . . . . . . . . . . . . . . 1 1

Credit Quality Allocation4 8/31/14 8/31/13

AAA/Aaa5. . . . . . . . . . . . . . . . . . . . . . . . . . . . 24% 14%AA/Aa . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 15A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18 21BBB/Baa . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28 23BB/Ba . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13 12B . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 13CCC/Caa . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 1N/R . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 1

4 For financial reporting purposes, credit quality ratings shown above reflect the highest ratingassigned by either Standard & Poor’s (“S&P”) or Moody’s Investors Service (“Moody’s”) if ratingsdiffer. These rating agencies are independent, nationally recognized statistical ratingorganizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa orhigher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investmentsdesignated N/R are not rated by either rating agency. Unrated investments do not necessarilyindicate low credit quality. Credit quality ratings are subject to change.

5 The investment advisor evaluates the credit quality of not-rated investments based upon certainfactors including, but not limited to, credit ratings for similar investments and financial analysisof sectors and individual investments. Using this approach, the investment advisor has deemedU.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa.

8/09

Net Asset ValueMarket Price

8/10 8/11 8/12 8/13 8/146.00

10.00

14.00

$18.00

BlackRock Core Bond Trust

ANNUAL REPORT AUGUST 31, 2014 5

Trust Overview

BlackRock Corporate High Yield Fund, Inc.’s (HYT) (the “Trust”) primary investment objective is to provide shareholders with current income. The Trust’ssecondary investment objective is to provide shareholders with capital appreciation. The Trust seeks to achieve its objectives by investing, under normalmarket conditions, at least 80% of its assets in domestic and foreign high yield securities, including high yield bonds (commonly referred to as “junk”bonds), corporate loans, convertible debt securities and preferred securities which are below investment grade quality. The Trust may invest directly insuch securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objectives will be achieved.



• For the 12-month period ended August 31, 2014, the Trust returned15.58% based on market price and 16.21% based on NAV. For the sameperiod, the closed-end Lipper High Yield Funds (Leveraged) categoryposted an average return of 15.47% based on market price and 14.60%based on NAV. All returns reflect reinvestment of dividends. The Trust’sdiscount to NAV, which widened during the period, accounts for thedifference between performance based on price and performance basedon NAV. The following discussion relates to performance based on NAV.


• The Trust benefited from its allocation to the equity of select high yieldcompanies, which we prefer to higher beta CCC-rated bonds in thisenvironment. In particular, equity positions in General Motors Co., AllyFinancial, Inc., The Goodyear Tire & Rubber Co., American InternationalGroup, Inc. and American Capital Ltd. were notable contributors. Alsoadding to performance was issuer selection within high yield bonds andbank loans, with strong returns from Caesars Entertainment ResortProperties, LLC, TXU Corp., HD Supply, Inc. and Amaya Gaming.

• The Trust’s limited exposure to bonds in the BB-rated quality range was adisadvantage as these bonds outperformed B-rated bonds, in which theTrust held a large allocation. The Trust’s exposure to bank loans detractedfrom results as the asset class underperformed high yield bonds duringthe period.


• After five years of a favorable high yield market, pricing differentialsbetween sectors have compressed. In this environment, the Trust’sinvestment decisions were focused on bottom-up security selection overtop-down sector allocation, The Trust held a broader than normal portfolio,allocated across roughly 500 issuers (versus the typical 250 to 300),although 25 names represented about one-third of portfolio exposure.The Trust maintained a low exposure to BB-rated bonds given their lowcoupons and greater sensitivity to rising interest rates, while maintainingnon-benchmark exposure to bank loans and the equity of select highyield companies.


• At period end, the Trust held 75% of its total portfolio in corporate bonds,12% in floating rate loan interests (bank loans) and 8% in commonstocks, with the remainder invested in preferred stocks and other interests.


Trust Summary as of August 31, 2014 BlackRock Corporate High Yield Fund, Inc.


Trust Information

Symbol on NYSE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HYTInitial Offering Date . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . May 30, 2003Current Distribution Rate on Closing Market Price as of August 31, 2014 ($12.07)1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.51%Current Monthly Distribution per Common Share2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $0.0755Current Annualized Distribution per Common Share2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $0.9060Economic Leverage as of August 31, 20143. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30%


2 The distribution rate is not constant and is subject to change.3 Represents bank borrowings as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than

borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 12.



Market Price . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $12.07 $11.37 6.16% $12.65 $11.34Net Asset Value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $13.47 $12.62 6.74% $13.55 $12.62




Corporate Bonds . . . . . . . . . . . . . . . . . . . . . . . 75% 76%Floating Rate Loan Interests . . . . . . . . . . . . . . . 12 14Common Stocks . . . . . . . . . . . . . . . . . . . . . . . 9 7Preferred Securities . . . . . . . . . . . . . . . . . . . . . 3 2Asset-Backed Securities . . . . . . . . . . . . . . . . . 1 1


AA/Aa . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . —6 —A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . —6 —6

BBB/Baa . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4% 4%BB/Ba . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33 28B . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38 46CCC/Caa . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13 10N/R . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12 12

4 For financial reporting purposes, credit quality ratings shown above reflect the highest ratingassigned by either S&P or Moody’s if ratings differ. These rating agencies are independent,nationally recognized statistical rating organizations and are widely used. Investment graderatings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratingsof BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unratedinvestments do not necessarily indicate low credit quality. Credit quality ratings are subject tochange.

5 Information has been revised to conform to current year presentation.6 Representing less than 0.5% of the Trust’s long-term investments.

8/09


8/10 8/11 8/12 8/13 8/144.00

8.00

12.00

$16.00

BlackRock Corporate High Yield Fund, Inc.


Trust Overview

BlackRock Income Opportunity Trust, Inc.’s (BNA) (the “Trust”) investment objective is to provide current income and capital appreciation. The Trustseeks to achieve its investment objective by investing at least 75% of its assets in bonds that are investment grade quality at the time of investment. TheTrust’s investments will include a broad range of bonds, including corporate bonds, US government and agency securities and mortgage-related securities.The Trust may invest directly in such securities or synthetically through the use of derivatives.

On June 6, 2014, the Boards of the Trust, BlackRock Core Bond Trust (“BHK”) and BlackRock Income Trust, Inc. (“BKT”) approved the reorganizations ofthe Trust and BKT with and into BHK, with BHK continuing as the surviving fund after the reorganizations. At a special meeting of shareholders onSeptember 30, 2014, the shareholders of the Trust and BHK approved the reorganization of the Trust with and into BHK, which is expected to becompleted in late 2014. The reorganization of BKT with and into BHK was not approved by BKT shareholders. Consequently, the reorganization of BKT withand into BHK will not be completed.




• For the 12-month period ended August 31, 2014, the Trust returned17.73% based on market price and 16.46% based on NAV. For the sameperiod, the closed-end Lipper Corporate BBB-Rated Debt Funds(Leveraged) category posted an average return of 13.73% based onmarket price and 11.63% based on NAV. All returns reflect reinvestment ofdividends. The Trust’s discount to NAV, which narrowed during the period,accounts for the difference between performance based on price andperformance based on NAV. The following discussion relates toperformance based on NAV.


• The Trust benefited from the generally positive market environment, withpositions in investment grade corporate credit and high yield being thelargest contributors to returns. The Trust’s allocations to U.S. Treasuriesand agency mortgage-backed securities (“MBS”) also contributedpositively as the 10-year Treasury rate unexpectedly rallied lower duringthe period. (Bond prices rise when rates fall.) Exposure to securitizedassets, including commercial mortgage-backed securities (“CMBS”) andasset-backed securities (“ABS”) also had a positive impact onperformance.

• As most fixed income sectors performed well during the period, the onlydetractor from the Trust’s performance was the cost of derivatives used tomanage the Trust’s duration (sensitivity to interest rate movements).


• The Trust’s allocations remained consistent throughout the 12-monthperiod, with its largest position in investment grade and high yieldcorporate credit, followed by allocations to securitized credits, specifically,ABS and CMBS.


• At period end, the Trust maintained diversified exposure to non-government spread sectors including investment grade credit, high yieldcredit, CMBS, ABS and non-agency residential MBS. The Trust also heldexposure to government-related sectors including U.S. Treasury securities,agency debt and agency MBS. The Trust ended the period with a longduration profile.


Trust Summary as of August 31, 2014 BlackRock Income Opportunity Trust, Inc.


Trust Information

Symbol on NYSE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . BNAInitial Offering Date . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . December 20, 1991Current Distribution Rate on Closing Market Price as of August 31, 2014 ($10.59)1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.74%Current Monthly Distribution per Common Share2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $0.0595Current Annualized Distribution per Common Share2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $0.7140Economic Leverage as of August 31, 20143 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29%


2 The distribution rate is not constant and is subject to change.3 Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of

liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 12.



Market Price . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $10.59 $ 9.64 9.85% $10.86 $ 9.54Net Asset Value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $11.91 $10.96 8.67% $11.92 $10.79




Corporate Bonds . . . . . . . . . . . . . . . . . . . . . . . 55% 58%Non-Agency Mortgage-Backed Securities . . . . . . 11 11U.S. Treasury Obligations . . . . . . . . . . . . . . . . . 9 7U.S. Government Sponsored Agency Securities . . 9 10Preferred Securities . . . . . . . . . . . . . . . . . . . . . 9 6Asset-Backed Securities . . . . . . . . . . . . . . . . . 4 5Municipal Bonds . . . . . . . . . . . . . . . . . . . . . . . 2 2Foreign Agency Obligations . . . . . . . . . . . . . . . 1 1


AAA/Aaa5. . . . . . . . . . . . . . . . . . . . . . . . . . . . 26% 24%AA/Aa . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 4A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20 21BBB/Baa . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22 24BB/Ba . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15 13B . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8 12CCC/Caa . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 1N/R . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 1

4 For financial reporting purposes, credit quality ratings shown above reflect the highest ratingassigned by either S&P or Moody’s if ratings differ. These rating agencies are independent,nationally recognized statistical rating organizations and are widely used. Investment graderatings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratingsof BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unratedinvestments do not necessarily indicate low credit quality. Credit quality ratings are subject tochange.

5 The investment advisor evaluates the credit quality of not-rated investments based upon certainfactors including, but not limited to, credit ratings for similar investments and financial analysisof sectors and individual investments. Using this approach, the investment advisor has deemedU.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa.

8/09


8/10 8/11 8/12 8/13 8/146.00

9.00

12.00

$15.00

BlackRock Income Opportunity Trust, Inc.


Trust Overview

BlackRock Income Trust, Inc.’s (BKT) (the “Trust”) investment objective is to manage a portfolio of high-quality securities to achieve both preservation ofcapital and high monthly income. The Trust seeks to achieve its investment objective by investing at least 65% of its assets in mortgage-backed securities.The Trust invests at least 80% of its assets in securities that are (i) issued or guaranteed by the US government or one of its agencies or instrumentalities or(ii) rated at the time of investment either AAA by S&P or Aaa by Moody’s. The Trust may invest directly in such securities or synthetically through the useof derivatives.

On June 6, 2014, the Boards of the Trust, BlackRock Income Opportunity Trust, Inc. (“BNA”) and BlackRock Core Bond Trust (“BHK”) approved thereorganizations of the Trust and BNA with and into BHK, with BHK continuing as the surviving fund after the reorganizations. At a special meeting ofshareholders on September 30, 2014, the reorganization of the Trust with and into BHK was not approved by BKT shareholders. Consequently, thereorganization of BKT with and into BHK will not be completed.




• For the 12-month period ended August 31, 2014, the Trust returned7.12% based on market price and 6.05% based on NAV. For the sameperiod, the closed-end Lipper US Mortgage Funds category posted anaverage return of 16.32% based on market price and 13.06% based onNAV. All returns reflect reinvestment of dividends. The Trust’s discount toNAV, which narrowed during the period, accounts for the differencebetween performance based on price and performance based on NAV. Thefollowing discussion relates to performance based on NAV.


• Positive contributions to returns came from the Trust’s exposure tosecuritized assets, specifically, agency collateralized mortgage obligations(“CMOs”) and agency mortgage derivatives (including interest-only andprincipal-only securities). The Trust continued to benefit from exposure toAlt-A (riskier than prime, but less risky than subprime) and prime non-agency residential mortgage-backed securities (“MBS”), as well ascommercial mortgage-backed securities (“CMBS”) as spreads tightenedthrough most of the period.

• The Trust uses interest rate derivatives including futures, options, swapsand swaptions, mainly for the purpose of managing duration, convexity(the rate at which duration changes in response to interest ratemovements) and yield curve positioning. During the period, the Trust heldshort positions on U.S. Treasuries in order to manage the duration profileof the portfolio. These positions were beneficial to the Trust’s performanceduring certain periods of rising interest rates. However, for the period as awhole, the Trust’s derivatives holdings had a negative impact on returns.


• During the 12-month period, the Trust increased overall exposure toagency MBS, while reducing exposure to 30-year pass-through MBS infavor of agency CMO securities exhibiting attractive spreads, strongincome and low convexity.


• As of period end, the Trust maintained exposure to high quality agencyMBS with varying maturities and coupon rates. The Trust continued to favoragency CMOs, while holding low exposure to 15- and 30-year agencypass-through issues. The Trust continued to hold modest allocations inasset-backed securities (“ABS”), non-agency MBS and CMBS based onimproving underlying fundamentals.


Trust Summary as of August 31, 2014 BlackRock Income Trust, Inc.


Trust Information

Symbol on NYSE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . BKTInitial Offering Date . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . July 22, 1988Current Distribution Rate on Closing Market Price as of August 31, 2014 ($6.42)1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.54%Current Monthly Distribution per Common Share2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $0.035Current Annualized Distribution per Common Share2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $0.420Economic Leverage as of August 31, 20143. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31%

1 Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate mayconsist of income, net realized gains and/or a tax return of capital. Past performance does not guarantee future results.

2 The distribution rate is not constant and is subject to change.3 Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to

borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see theBenefits and Risks of Leveraging on page 12.



Market Price . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $6.42 $6.40 0.31% $6.72 $6.31Net Asset Value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $7.27 $7.32 (0.68)% $7.41 $7.21




U.S. Government Sponsored Agency Securities . . 97% 96%Non-Agency Mortgage-Backed Securities . . . . . . 1 2U.S. Treasury Obligations . . . . . . . . . . . . . . . . . 1 1Asset-Backed Securities . . . . . . . . . . . . . . . . . 1 1


AAA/Aaa5. . . . . . . . . . . . . . . . . . . . . . . . . . . . 98% 100%AA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 —NR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 —

4 For financial reporting purposes, credit quality ratings shown above reflect thehighest rating assigned by either S&P or Moody’s if ratings differ. These ratingagencies are independent, nationally recognized statistical rating organizations andare widely used. Investment grade ratings are credit ratings of BBB/Baa or higher.Below investment grade ratings are credit ratings of BB/Ba or lower. Investmentsdesignated N/R are not rated by either rating agency. Unrated investments do notnecessarily indicate low credit quality. Credit quality ratings are subject to change.

5 The investment advisor evaluates the credit quality of not-rated investments basedupon certain factors including, but not limited to, credit ratings for similarinvestments and financial analysis of sectors and individual investments. Using thisapproach, the investment advisor has deemed U.S. Government Sponsored AgencySecurities and U.S. Treasury Obligations as AAA/Aaa.

8/09


8/10 8/11 8/12 8/13 8/144.00

6.00

8.00

$10.00

BlackRock Income Trust, Inc.


The Trusts may utilize leverage to seek to enhance the yield and net assetvalue (“NAV”) of their common shares (“Common Shares”). However,these objectives cannot be achieved in all interest rate environments.

In general, the concept of leveraging is based on the premise that thefinancing cost of leverage, which will be based on short-term interest rates,will normally be lower than the income earned by a Trust on its longer-termportfolio investments purchased with the proceeds from leverage. To theextent that the total assets of the Trust (including the assets obtained fromleverage) are invested in higher-yielding portfolio investments, the Trust’sshareholders will benefit from the incremental net income. The interestearned on securities purchased with the proceeds from leverage is paid toshareholders in the form of dividends, and the value of these portfolioholdings is reflected in the per share NAV.

To illustrate these concepts, assume a Trust’s Common Sharescapitalization is $100 million and it utilizes leverage for an additional$30 million, creating a total value of $130 million available for investmentin longer-term income securities. If prevailing short-term interest rates are3% and longer-term interest rates are 6%, the yield curve has a stronglypositive slope. In this case, the Trust’s financing costs on the $30 millionof proceeds obtained from leverage are based on the lower short-terminterest rates. At the same time, the securities purchased by the Trustwith the proceeds from leverage earn income based on longer-terminterest rates. In this case, the Trust’s costs of leverage are significantlylower than the income earned on the Trust’s longer-term investmentsacquired from leverage proceeds, and therefore the holders of CommonShares (“Common Shareholders”) are the beneficiaries of the incrementalnet income.

However, in order to benefit Common Shareholders, the return on assetspurchased with leverage proceeds must exceed the ongoing costsassociated with the leverage. If interest and other costs of leverage exceedthe Trust’s return on assets purchased with leverage proceeds, income toshareholders will be lower than if the Trust had not used leverage.Furthermore, the value of the Trust’s portfolio investments generally variesinversely with the direction of long-term interest rates, although otherfactors can influence the value of portfolio investments. In contrast, the

value of the Trust’s obligations under its leverage arrangement generallydoes not fluctuate in relation to interest rates. As a result, changes ininterest rates can influence the Trust’s NAVs positively or negatively.Changes in the future direction of interest rates are very difficult to predictaccurately, and there is no assurance that a Trust’s intended leveragingstrategy will be successful.

Leverage also will generally cause greater changes in the Trusts’ NAVs,market prices and dividend rates than comparable portfolios withoutleverage. In a declining market, leverage is likely to cause a greater declinein the net asset value and market price of a Trust’s Common Shares than ifthe Trust were not leveraged. In addition, the Trust may be required to sellportfolio securities at inopportune times or at distressed values in order tocomply with regulatory requirements applicable to the use of leverage oras required by the terms of leverage instruments, which may cause theTrust to incur losses. The use of leverage may limit the Trust’s ability toinvest in certain types of securities or use certain types of hedgingstrategies. The Trust will incur expenses in connection with the use ofleverage, all of which are borne by Common Shareholders and may reduceincome to the Common Shares.

Each Trust may utilize leverage through a credit facility or reverserepurchase agreements as described in the Notes to Financial Statements.

Under the Investment Company Act of 1940, as amended (the “1940Act”), the Trust is permitted to issue debt up to 331⁄3% of their totalmanaged assets. A Trust may voluntarily elect to limit its leverage to lessthan the maximum amount permitted under the 1940 Act. In addition, aTrust may also be subject to certain asset coverage, leverage or portfoliocomposition requirements imposed by its credit facility, which may bemore stringent than those imposed by the 1940 Act.

If a Trust segregates or designates on its books and records cash or liquidassets having values not less than the value of the Trust’s obligationsunder the reverse repurchase agreement (including accrued interest), thensuch transaction will not be considered a senior security and will not besubject to the foregoing limitations and requirements under the 1940 Act.

Derivative Financial Instruments

The Trusts may invest in various derivative financial instruments, includingfinancial futures contracts, foreign currency exchange contracts, optionsand swaps, as specified in Note 4 of the Notes to Financial Statements,which may constitute forms of economic leverage. Such derivativefinancial instruments are used to obtain exposure to a security, indexand/or market without owning or taking physical custody of securities or tohedge market, equity, credit, interest rate, foreign currency exchange rateand/or other risks. Derivative financial instruments involve risks, includingthe imperfect correlation between the value of a derivative financialinstrument and the underlying asset, possible default of the counterpartyto the transaction or illiquidity of the derivative financial instrument. The

Trusts’ ability to use a derivative financial instrument successfully dependson the investment advisor’s ability to predict pertinent market movementsaccurately, which cannot be assured. The use of derivative financialinstruments may result in losses greater than if they had not been used,may require a Trust to sell or purchase portfolio investments atinopportune times or for distressed values, may limit the amount ofappreciation a Trust can realize on an investment, may result in lowerdividends paid to shareholders and/or may cause a Trust to hold aninvestment that it might otherwise sell. The Trusts’ investments in theseinstruments are discussed in detail in the Notes to Financial Statements.

The Benefits and Risks of Leveraging


Asset-Backed SecuritiesPar

(000) Value

Asset-Backed Securities — 6.4%AmeriCredit Automobile Receivables Trust,

Series 2011-5, Class C, 3.44%, 10/08/17 USD 400 $ 409,335Apidos CDO XI, Series 2012-11A, Class D,

4.48%, 1/17/23 (a)(b) 600 599,980Atrium CDO Corp., Series 9A, Class D,

3.74%, 2/28/24 (a)(b) 750 716,947Babson CLO Ltd., Series 2012-1X, Class B,

2.73%, 4/15/22 (b) 500 490,101Benefit Street Partners CLO III, Ltd.,

Series 2013-IIIA, Class C, 3.48%,1/20/26 (a)(b) 1,000 923,836

Brookside Mill CLO, Ltd., Series 2013-1A, Class C1,2.93%, 4/17/25 (a)(b) 500 487,352

CarMax Auto Owner Trust, Series 2012-1:Class B, 1.76%, 8/15/17 210 213,025Class C, 2.20%, 10/16/17 125 127,555Class D, 3.09%, 8/15/18 155 158,080

CenterPoint Energy Transition Bond Co. LLC,Series 2012-1, Class A3, 3.03%, 10/15/25 1,105 1,119,618

CIFC Funding 2014-IV, Ltd., Series 2014-4A,Class D, 3.64%, 10/17/26 (a)(b)(c) 2,000 1,852,000

CIFC Funding Ltd. (a)(b):Series 2012-1AR, Class B1R, 4.39%, 8/14/24 750 743,850Series 2013-IA, Class B, 3.04%, 4/16/25 500 489,156Series 2013-IA, Class C, 3.83%, 4/16/25 500 477,036

Countrywide Asset-Backed Certificates,Series 2006-13, Class 3AV2, 0.31%,1/25/37 (b) 860 809,636

Dryden 34 Senior Loan Fund, Series 2014-34A,Class C, 3.03%, 10/15/26 (a)(b) 2,000 1,960,000

Ford Credit Floorplan Master Owner Trust,Series 2012-2:

Class B, 2.32%, 1/15/19 245 249,967Class C, 2.86%, 1/15/19 105 108,453Class D, 3.50%, 1/15/19 200 209,071

Galaxy CLO Ltd., Series 2014-18A, Class C1,3.23%, 10/15/26 (a)(b) 1,625 1,592,500

Galaxy XV CLO Ltd., Series 2013-15A, Class C,2.83%, 4/15/25 (a)(b) 500 485,323

ING IM CLO Ltd., Series 2012-2A, Class C,3.68%, 10/15/22 (a)(b) 750 750,197

Nelnet Student Loan Trust (b):Series 2006-1, Class A5, 0.34%, 8/23/27 525 517,032Series 2008-3, Class A4, 1.88%, 11/25/24 615 645,157

Octagon Investment Partners XX Ltd.,Series 2014-1A (a)(b):

Class C, 3.04%, 8/12/26 1,000 981,100Class D, 3.89%, 8/12/26 1,000 959,900

OZLM Funding III, Ltd., Series 2013-3A, Class B,3.33%, 1/22/25 (a)(b) 750 745,725

OZLM VII Ltd., Series 2014-7A, Class C,3.86%, 7/17/26 (a)(b) 470 442,002

Santander Drive Auto Receivables Trust:Series 2010-2, Class C, 3.89%, 7/17/17 602 604,433Series 2010-B, Class C, 3.02%, 10/17/16 (a) 40 39,879Series 2011-1, Class D, 4.01%, 2/15/17 940 964,887Series 2012-1, Class B, 2.72%, 5/16/16 96 95,898Series 2012-1, Class C, 3.78%, 11/15/17 325 332,363


(000) Value

Asset-Backed Securities (concluded)SLM Private Credit Student Loan Trust,

Series 2004-B, Class A2, 0.43%, 6/15/21 (b) USD 109 $ 108,189SLM Private Education Loan Trust, Series 2012-A,

Class A1, 1.56%, 8/15/25 (a)(b) 190 192,298SLM Student Loan Trust:

Series 2008-5, Class A3, 1.53%, 1/25/18 (b) 416 418,953Series 2008-5, Class A4, 1.93%, 7/25/23 (b) 615 642,133Series 2012-A, Class A2, 3.83%, 1/17/45 (a) 345 361,818Series 2014-A, Class B, 3.50%, 11/15/44 (a) 250 244,638

Structured Asset Securities Corp., Series 2002-AL1,Class A2, 3.45%, 2/25/32 1,019 1,014,172

Symphony CLO VII, Ltd., Series 2011-7A, Class E,3.84%, 7/28/21 (a)(b) 750 723,920

World Financial Network Credit Card Master Trust,Series 2012-C, Class C, 4.55%, 8/15/22 1,180 1,231,459

26,238,974Interest Only Asset-Backed Securities — 0.1%Sterling Bank Trust, Series 2004-2, Class Note,

2.08%, 3/30/30 (a) 2,435 176,505Sterling Coofs Trust, Series 2004-1, Class A,

2.36%, 4/15/29 (a) 4,974 341,984518,489

Total Asset-Backed Securities — 6.5% 26,757,463

Corporate Bonds

Aerospace & Defense — 0.6%Huntington Ingalls Industries, Inc., 7.13%, 3/15/21 230 250,125United Technologies Corp. (d):

4.88%, 5/01/15 1,125 1,158,8076.13%, 7/15/38 700 911,721

2,320,653Airlines — 2.0%American Airlines Pass-Through Trust,

Series 2013-2:Class A, 4.95%, 7/15/24 2,223 2,395,331Class B, 5.60%, 1/15/22 488 506,206

Continental Airlines Pass-Through Trust:Series 2010-1, Class B, 6.00%, 7/12/20 421 448,375Series 2012-3, Class C, 6.13%, 4/29/18 500 530,000

United Airlines Pass-Through Trust:Series 2013-1, Class A, 4.30%, 2/15/27 2,000 2,050,000Series 2014-2, Class B, 4.63%, 3/03/24 1,375 1,375,000

US Airways Pass-Through Trust, Series 2012-1,Class C, 9.13%, 10/01/15 1,084 1,143,747

8,448,659Auto Components — 0.8%Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

3.50%, 3/15/17 91 91,5694.88%, 3/15/19 1,330 1,366,5756.00%, 8/01/20 953 1,017,3275.88%, 2/01/22 911 949,718

3,425,189

Portfolio Abbreviations

ABSADRADSARCAUDCADCLO

Asset-Backed SecurityAmerican Depositary ReceiptsAmerican Depositary SharesAuction Rate CertificatesAustralian DollarCanadian DollarCollateralized Loan Obligation

CMODIPEURGBPGOLIBOROIS

Collateralized Mortgage ObligationDebtor-In-PossessionEuroBritish PoundGeneral Obligation BondsLondon Interbank Offered RateOvernight Indexed Swap

OTCPIKRadianRBS&PUSD

Over-the-CounterPayment-In-KindRadian Guaranty, Inc.Revenue BondsStandard and Poor’sU.S. Dollar

Schedule of Investments August 31, 2014 BlackRock Core Bond Trust (BHK)(Percentages shown are based on Net Assets)

See Notes to Financial Statements.


Corporate BondsPar

(000) Value

Automobiles — 1.1%Ford Motor Co., 4.75%, 1/15/43 USD 2,250 $ 2,355,037General Motors Co., 6.25%, 10/02/43 1,253 1,469,142Jaguar Land Rover Automotive PLC,

4.13%, 12/15/18 (a) 750 761,2504,585,429

Banks — 4.1%Barclays Bank PLC, 7.63%, 11/21/22 1,750 1,965,469CIT Group, Inc.:

5.50%, 2/15/19 (a) 398 429,3435.38%, 5/15/20 1,650 1,786,125

Depfa ACS Bank, 5.13%, 3/16/37 (a) 3,775 4,515,768HSBC Bank Brasil SA — Banco Multiplo,

4.00%, 5/11/16 (a) 1,400 1,442,000HSBC Bank PLC, 3.10%, 5/24/16 (a) 700 728,813HSBC Holdings PLC:

4.25%, 3/14/24 1,010 1,048,5066.10%, 1/14/42 305 396,442

Rabobank Nederland:3.88%, 2/08/22 1,390 1,487,1673.95%, 11/09/22 1,500 1,542,769

Wells Fargo & Co., 3.50%, 3/08/22 (d) 1,390 1,447,84616,790,248

Building Products — 0.1%Cemex SAB de CV, 5.88%, 3/25/19 (a) 200 209,500Capital Markets — 3.6%CDP Financial, Inc., 5.60%, 11/25/39 (a)(d) 2,935 3,782,613The Goldman Sachs Group, Inc. (d):

5.38%, 3/15/20 1,220 1,378,3625.25%, 7/27/21 3,165 3,566,7785.75%, 1/24/22 1,800 2,088,945

Morgan Stanley:4.20%, 11/20/14 490 493,9534.00%, 7/24/15 410 422,7806.25%, 8/28/17 (d) 1,930 2,184,916

Murray Street Investment Trust I, 4.65%,3/09/17 (e) 825 887,461

14,805,808Chemicals — 1.3%Axalta Coating Systems US Holdings, Inc./Axalta

Coating Systems Dutch Holding BV,7.38%, 5/01/21 (a) 151 164,590

Axiall Corp., 4.88%, 5/15/23 152 152,190The Dow Chemical Co., 4.13%, 11/15/21 350 374,869Huntsman International LLC, 4.88%, 11/15/20 298 303,960Methanex Corp., 3.25%, 12/15/19 2,074 2,127,341PetroLogistics LP/PetroLogistics Finance Corp.,

6.25%, 4/01/20 161 177,503Rockwood Specialties Group, Inc.,

4.63%, 10/15/20 1,800 1,872,0005,172,453

Commercial Services & Supplies — 1.0%ADS Waste Holdings, Inc., 8.25%, 10/01/20 246 261,990The ADT Corp., 4.88%, 7/15/42 539 458,150Aviation Capital Group Corp. (a):

4.63%, 1/31/18 650 680,9917.13%, 10/15/20 900 1,027,407

Brand Energy & Infrastructure Services, Inc.,8.50%, 12/01/21 (a) 217 225,680

Mobile Mini, Inc., 7.88%, 12/01/20 320 345,600United Rentals North America, Inc.:

5.75%, 7/15/18 194 204,1857.38%, 5/15/20 385 419,6507.63%, 4/15/22 452 507,370

4,131,023

Corporate BondsPar

(000) Value

Communications Equipment — 1.2%ADC Telecommunications, Inc., 3.50%, 7/15/15 (f) USD 4,330 $ 4,373,300Zayo Group LLC/Zayo Capital, Inc.,

8.13%, 1/01/20 530 571,7374,945,037

Construction & Engineering — 0.1%ABB Finance USA, Inc., 4.38%, 5/08/42 192 201,970BlueLine Rental Finance Corp., 7.00%,

2/01/19 (a) 96 101,520Safway Group Holding LLC/Safway Finance Corp.,

7.00%, 5/15/18 (a) 200 210,500513,990

Construction Materials — 1.0%Allegion US Holding Co., Inc., 5.75%, 10/01/21 446 467,185HD Supply, Inc.:

8.13%, 4/15/19 1,815 1,978,3507.50%, 7/15/20 1,544 1,659,800

Lafarge SA, 7.13%, 7/15/36 135 154,5754,259,910

Consumer Finance — 0.8%Discover Financial Services, 3.85%, 11/21/22 250 256,017Ford Motor Credit Co. LLC:

8.13%, 1/15/20 1,265 1,605,9814.25%, 9/20/22 800 854,769

SLM Corp., 6.25%, 1/25/16 661 700,6603,417,427

Containers & Packaging — 0.3%Crown Americas LLC/Crown Americas Capital

Corp. III, 6.25%, 2/01/21 91 97,143Sealed Air Corp. (a):

6.50%, 12/01/20 550 605,0008.38%, 9/15/21 225 253,125

Smurfit Kappa Acquisitions, 4.88%, 9/15/18 (a) 410 425,3751,380,643

Diversified Consumer Services — 0.1%APX Group, Inc., 6.38%, 12/01/19 266 269,990Diversified Financial Services — 8.2%Aircastle Ltd., 6.25%, 12/01/19 708 766,410Ally Financial, Inc.:

5.50%, 2/15/17 1,500 1,601,2506.25%, 12/01/17 160 176,2008.00%, 3/15/20 560 680,4008.00%, 11/01/31 300 388,125

Bank of America Corp. (d):5.63%, 7/01/20 1,100 1,260,6073.30%, 1/11/23 4,990 4,948,513

Capital One Financial Corp., 4.75%, 7/15/21 960 1,065,695FMR LLC, 4.95%, 2/01/33 (a) 1,150 1,278,895General Electric Capital Corp.:

6.15%, 8/07/37 (d) 2,150 2,737,8856.88%, 1/10/39 135 186,937

General Motors Financial Co., Inc.,4.25%, 5/15/23 401 409,521

IntercontinentalExchange Group, Inc.,4.00%, 10/15/23 235 250,047

Intesa Sanpaolo SpA, 5.02%, 6/26/24 (a) 1,145 1,155,713Jefferies Finance LLC/JFIN Co-Issuer Corp.,

7.38%, 4/01/20 (a) 1,250 1,306,250JPMorgan Chase & Co. (d):

3.70%, 1/20/15 3,425 3,467,7856.30%, 4/23/19 2,000 2,347,590

JPMorgan Chase Bank NA, 6.00%, 10/01/17 800 904,972Macquarie Bank Ltd., 10.25%, 6/20/57 (b) 900 1,026,000Moody’s Corp., 4.50%, 9/01/22 900 958,425Northern Trust Corp., 3.95%, 10/30/25 4,000 4,185,768

Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)(Percentages shown are based on Net Assets)



Corporate BondsPar

(000) Value

Diversified Financial Services (concluded)Reynolds Group Issuer, Inc.:

7.13%, 4/15/19 USD 200 $ 207,7507.88%, 8/15/19 560 606,2005.75%, 10/15/20 1,000 1,045,0006.88%, 2/15/21 680 728,450

33,690,388Diversified Telecommunication Services — 3.1%CenturyLink, Inc., Series V, 5.63%, 4/01/20 400 423,000Level 3 Financing, Inc.:

8.13%, 7/01/19 698 755,5858.63%, 7/15/20 650 719,875

Telecom Italia Capital SA, 6.00%, 9/30/34 1,550 1,550,000Verizon Communications, Inc. (d):

3.50%, 11/01/21 500 518,9316.40%, 2/15/38 3,483 4,354,4746.55%, 9/15/43 3,376 4,348,224

Windstream Corp.:7.75%, 10/15/20 100 107,7506.38%, 8/01/23 20 20,050

12,797,889Electric Utilities — 4.6%The Cleveland Electric Illuminating Co.:

8.88%, 11/15/18 121 152,4115.95%, 12/15/36 217 256,681

CMS Energy Corp., 5.05%, 3/15/22 915 1,038,289ComEd Financing III, 6.35%, 3/15/33 150 153,375Duke Energy Carolinas LLC:

6.10%, 6/01/37 315 399,5066.00%, 1/15/38 (d) 825 1,069,7584.25%, 12/15/41 (d) 375 388,681

Duke Energy Florida, Inc., 6.40%, 6/15/38 430 586,855E.ON International Finance BV, 6.65%,

4/30/38 (a)(d) 1,525 1,978,501Electricite de France SA, 5.60%, 1/27/40 (a)(d) 1,400 1,644,663Florida Power Corp., 6.35%, 9/15/37 (d) 1,325 1,801,015Jersey Central Power & Light Co., 7.35%, 2/01/19 245 294,263Ohio Power Co., Series D, 6.60%, 3/01/33 1,500 1,975,527PacifiCorp, 6.25%, 10/15/37 575 765,630Public Service Co. of Colorado, Series 17,

6.25%, 9/01/37 (d) 1,200 1,618,200Southern California Edison Co.:

5.63%, 2/01/36 625 780,361Series A, 5.95%, 2/01/38 (d) 1,075 1,382,361

Virginia Electric and Power Co., Series A,6.00%, 5/15/37 (d) 2,000 2,575,904

18,861,981Energy Equipment & Services — 2.4%Calfrac Holdings LP, 7.50%, 12/01/20 (a) 470 499,375Ensco PLC:

3.25%, 3/15/16 160 165,6754.70%, 3/15/21 (d) 1,745 1,899,766

EOG Resources, Inc., 2.63%, 3/15/23 (d) 1,902 1,850,779Genesis Energy LP/Genesis Energy Finance Corp.,

5.75%, 2/15/21 71 73,307GrafTech International Ltd., 6.38%, 11/15/20 580 600,300Noble Holding International Ltd., 5.25%, 3/15/42 350 369,052Peabody Energy Corp.:

6.00%, 11/15/18 1,251 1,288,5306.25%, 11/15/21 1,239 1,234,354

Seadrill Ltd., 6.13%, 9/15/17 (a) 1,590 1,641,675Transocean, Inc., 6.50%, 11/15/20 350 395,876

10,018,689Food & Staples Retailing — 0.1%Rite Aid Corp., 6.75%, 6/15/21 279 296,089

Corporate BondsPar

(000) Value

Food Products — 0.5%Barry Callebaut Services NV, 5.50%, 6/15/23 (a) USD 593 $ 626,000Kraft Foods Group, Inc., 5.00%, 6/04/42 997 1,084,150Smithfield Foods, Inc., 5.88%, 8/01/21 (a) 169 180,830

1,890,980Health Care Equipment & Supplies — 0.4%Boston Scientific Corp., 6.25%, 11/15/15 1,251 1,330,170Teleflex, Inc., 6.88%, 6/01/19 385 407,137

1,737,307Health Care Providers & Services — 4.1%Aviv Healthcare Properties LP/Aviv Healthcare

Capital Corp., 7.75%, 2/15/19 175 185,063CHS/Community Health Systems, Inc.,

5.13%, 8/15/18 400 416,000ConvaTec Healthcare E SA, 7.38%, 12/15/17 (a) EUR 494 681,925HCA Holdings, Inc., 7.75%, 5/15/21 USD 140 152,600HCA, Inc.:

3.75%, 3/15/19 130 130,9756.50%, 2/15/20 2,198 2,459,0124.75%, 5/01/23 1,161 1,171,159

Symbion, Inc., 8.00%, 6/15/16 455 473,769Tenet Healthcare Corp.:

6.25%, 11/01/18 859 936,3106.00%, 10/01/20 622 674,8704.50%, 4/01/21 383 383,9584.38%, 10/01/21 1,765 1,751,7628.13%, 4/01/22 1,157 1,331,996

UnitedHealth Group, Inc., 2.88%, 3/15/22 (d) 2,000 2,007,922WellPoint, Inc., 4.65%, 1/15/43 (d) 4,005 4,127,853

16,885,174Hotels, Restaurants & Leisure — 2.6%MCE Finance Ltd., 5.00%, 2/15/21 (a) 935 930,325Six Flags Entertainment Corp., 5.25%, 1/15/21 (a) 865 875,812The Unique Pub Finance Co. PLC:

Series A3, 6.54%, 3/30/21 GBP 1,748 3,054,295Series A4, 5.66%, 6/30/27 623 1,041,957Series M, 7.40%, 3/28/24 1,500 2,543,706Series N, 6.46%, 3/30/32 1,195 1,867,672

Wynn Macau Ltd., 5.25%, 10/15/21 (a) USD 416 423,28010,737,047

Household Durables — 1.0%Beazer Homes USA, Inc.:

6.63%, 4/15/18 580 613,3507.50%, 9/15/21 166 174,300

Standard Pacific Corp., 10.75%, 9/15/16 2,100 2,446,500Taylor Morrison Communities, Inc./Monarch

Communities, Inc., 5.25%, 4/15/21 (a) 372 375,720Weyerhaeuser Real Estate Co. (a):

4.38%, 6/15/19 215 215,0005.88%, 6/15/24 145 147,900

3,972,770Household Products — 0.1%Spectrum Brands, Inc.:

6.38%, 11/15/20 200 215,0006.63%, 11/15/22 275 297,688

512,688Independent Power and Renewable Electricity Producers — 0.4%Calpine Corp. (a):

6.00%, 1/15/22 137 147,6175.88%, 1/15/24 194 207,580

NRG REMA LLC, Series C, 9.68%, 7/02/26 1,037 1,130,3301,485,527

Industrial Conglomerates — 0.0%Smiths Group PLC, 3.63%, 10/12/22 (a) 180 179,997




Corporate BondsPar

(000) Value

Insurance — 3.8%A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC,

7.88%, 12/15/20 (a) USD 613 $ 652,845American International Group, Inc.,

5.45%, 5/18/17 (d) 800 886,638AXA SA, 5.25%, 4/16/40 (b) EUR 250 371,716Five Corners Funding Trust, 4.42%, 11/15/23 (a) USD 1,025 1,093,923Hartford Financial Services Group, Inc.:

6.00%, 1/15/19 345 396,8775.13%, 4/15/22 930 1,062,591

Liberty Mutual Group, Inc., 6.50%, 5/01/42 (a) 1,000 1,241,191Lincoln National Corp., 6.25%, 2/15/20 630 742,463Manulife Financial Corp., 3.40%, 9/17/15 (d) 1,630 1,677,860MetLife, Inc., 6.40%, 12/15/36 3,500 3,946,250Montpelier Re Holdings Ltd., 4.70%, 10/15/22 450 471,476MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a) 340 362,950Muenchener Rueckversicherungs AG,

6.00%, 5/26/41 (b) EUR 200 318,679Prudential Financial, Inc. (d):

7.38%, 6/15/19 USD 250 307,4565.38%, 6/21/20 250 286,3304.50%, 11/15/20 450 493,9495.90%, 3/17/36 500 606,9925.70%, 12/14/36 675 807,066

15,727,252Internet Software & Services — 0.1%Equinix, Inc., 4.88%, 4/01/20 86 87,720VeriSign, Inc., 4.63%, 5/01/23 345 338,963

426,683IT Services — 0.6%Ceridian HCM Holding, Inc., 11.00%, 3/15/21 (a) 440 502,700First Data Corp. (a):

7.38%, 6/15/19 775 827,3126.75%, 11/01/20 1,192 1,290,340

2,620,352Life Sciences Tools & Services — 0.1%Agilent Technologies, Inc., 3.20%, 10/01/22 250 245,713Marine — 0.3%Nakilat, Inc., Series A, 6.07%, 12/31/33 (a) 1,050 1,181,250Media — 5.6%AMC Networks, Inc.:

7.75%, 7/15/21 320 353,2004.75%, 12/15/22 343 347,287

Cinemark USA, Inc., 5.13%, 12/15/22 175 177,844Clear Channel Communications, Inc.,

9.00%, 12/15/19 305 315,675Clear Channel Worldwide Holdings, Inc., Series B,

6.50%, 11/15/22 2,495 2,666,280Comcast Cable Communications Holdings, Inc.,

9.46%, 11/15/22 (d) 600 872,743Comcast Corp., 6.45%, 3/15/37 (d) 790 1,035,153Cox Communications, Inc., 8.38%, 3/01/39 (a) 1,740 2,529,285DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.:

6.38%, 3/01/41 260 322,9325.15%, 3/15/42 700 753,675

Gray Television, Inc., 7.50%, 10/01/20 332 350,260Inmarsat Finance PLC, 4.88%, 5/15/22 (a) 500 501,250The Interpublic Group of Cos., Inc.,

3.75%, 2/15/23 2,000 2,013,692Live Nation Entertainment, Inc., 7.00%,

9/01/20 (a) 109 117,448NAI Entertainment Holdings/NAI Entertainment

Holdings Finance Corp., 5.00%, 8/01/18 (a) 292 300,030NBCUniversal Media LLC (d):

5.15%, 4/30/20 1,983 2,269,9264.38%, 4/01/21 1,015 1,121,618

News America, Inc., 7.63%, 11/30/28 385 502,572

Corporate BondsPar

(000) Value

Media (concluded)Omnicom Group, Inc., 3.63%, 5/01/22 (d) USD 2,355 $ 2,421,649Sirius XM Holdings, Inc., 4.25%, 5/15/20 (a) 559 547,820TCI Communications, Inc., 7.88%, 2/15/26 610 851,142Time Warner, Inc.:

4.70%, 1/15/21 350 386,6876.10%, 7/15/40 215 258,742

Unitymedia Hessen GmbH & Co. KG/UnitymediaNRW GmbH, 5.50%, 1/15/23 (a) 255 260,738

Univision Communications, Inc., 5.13%,5/15/23 (a) 1,153 1,207,767

Virgin Media Secured Finance PLC,5.38%, 4/15/21 (a) 395 410,800

22,896,215Metals & Mining — 3.7%Alcoa, Inc., 5.40%, 4/15/21 1,450 1,580,965ArcelorMittal:

4.25%, 8/05/15 173 176,6766.13%, 6/01/18 384 418,080

Commercial Metals Co., 4.88%, 5/15/23 534 523,320Corp. Nacional del Cobre de Chile,

3.00%, 7/17/22 (a) 1,565 1,538,340Freeport-McMoRan Copper & Gold, Inc.:

3.55%, 3/01/22 540 542,9385.45%, 3/15/43 450 486,195

New Gold, Inc., 6.25%, 11/15/22 (a) 440 462,000Newcrest Finance Property Ltd., 4.45%,

11/15/21 (a) 475 473,097Novelis, Inc., 8.75%, 12/15/20 4,120 4,557,750Teck Resources, Ltd., 5.38%, 10/01/15 2,359 2,469,288Wise Metals Group LLC/Wise Alloys Finance Corp.,

8.75%, 12/15/18 (a) 602 650,160Xstrata Canada Corp., 6.20%, 6/15/35 1,250 1,402,748

15,281,557Multiline Retail — 0.3%Dufry Finance SCA, 5.50%, 10/15/20 (a) 1,260 1,310,463Oil, Gas & Consumable Fuels — 10.8%Access Midstream Partners LP/ACMP Finance Corp.,

6.13%, 7/15/22 400 435,000Anadarko Petroleum Corp., 5.95%, 9/15/16 1,916 2,103,666Antero Resources Finance Corp., 5.38%, 11/01/21 153 157,590Athlon Holdings LP/Athlon Finance Corp.,

7.38%, 4/15/21 159 172,515Bonanza Creek Energy, Inc., 6.75%, 4/15/21 99 103,950Burlington Resources Finance Co.,

7.40%, 12/01/31 875 1,267,708Carrizo Oil & Gas, Inc., 7.50%, 9/15/20 400 428,000Cenovus Energy, Inc., 6.75%, 11/15/39 750 996,115Chesapeake Energy Corp., 5.75%, 3/15/23 615 686,494ConocoPhillips Canada Funding Co.,

5.95%, 10/15/36 (d) 535 681,807Continental Resources, Inc.:

5.00%, 9/15/22 1,600 1,726,0004.50%, 4/15/23 113 122,027

Crestwood Midstream Partners LP/CrestwoodMidstream Finance Corp., 6.13%, 3/01/22 110 113,850

Denbury Resources, Inc., 4.63%, 7/15/23 623 601,195El Paso LLC, 7.80%, 8/01/31 45 55,800El Paso Natural Gas Co., 8.38%, 6/15/32 275 376,336Energy Transfer Partners LP, 7.50%, 7/01/38 500 655,341Energy XXI Gulf Coast, Inc., 9.25%, 12/15/17 455 482,300Enterprise Products Operating LLC,

6.13%, 10/15/39 700 872,348KeySpan Gas East Corp., 5.82%, 4/01/41 (a) 505 643,612Kinder Morgan Energy Partners LP:

6.50%, 9/01/39 (d) 3,000 3,514,8966.55%, 9/15/40 110 129,3276.38%, 3/01/41 150 175,240




Corporate BondsPar

(000) Value

Oil, Gas & Consumable Fuels (concluded)Kinder Morgan, Inc., 5.63%, 11/15/23 (a) USD 170 $ 187,425Kodiak Oil & Gas Corp., 5.50%, 2/01/22 106 111,830Linn Energy LLC/Linn Energy Finance Corp.,

6.25%, 11/01/19 237 244,703Marathon Petroleum Corp., 6.50%, 3/01/41 997 1,254,328MarkWest Energy Partners LP/MarkWest Energy

Finance Corp.:6.25%, 6/15/22 73 78,4754.50%, 7/15/23 25 25,406

Memorial Production Partners LP/MemorialProduction Finance Corp., 7.63%, 5/01/21 212 219,950

MidAmerican Energy Co., 5.80%, 10/15/36 700 896,927MidAmerican Energy Holdings Co. (d):

5.95%, 5/15/37 800 992,9716.50%, 9/15/37 3,400 4,485,691

Nexen, Inc., 7.50%, 7/30/39 1,000 1,412,478Pacific Drilling SA, 5.38%, 6/01/20 (a) 368 358,800PBF Holding Co. LLC/PBF Finance Corp.,

8.25%, 2/15/20 47 50,643PDC Energy, Inc., 7.75%, 10/15/22 260 284,700Pemex Project Funding Master Trust,

6.63%, 6/15/35 1,995 2,458,837Petrobras International Finance Co.:

3.88%, 1/27/16 1,340 1,377,5155.75%, 1/20/20 1,725 1,859,464

Pioneer Natural Resources Co., 3.95%, 7/15/22 350 366,893Premier Oil PLC, 5.00%, 6/09/18 1,900 1,995,000Range Resources Corp.:

5.75%, 6/01/21 107 114,2235.00%, 8/15/22 26 27,6585.00%, 3/15/23 62 65,875

Regency Energy Partners LP/Regency EnergyFinance Corp., 4.50%, 11/01/23 249 250,867

RKI Exploration & Production LLC/RKI FinanceCorp., 8.50%, 8/01/21 (a) 118 126,850

Rosetta Resources, Inc., 5.63%, 5/01/21 357 365,479Sabine Pass Liquefaction LLC:

5.63%, 2/01/21 1,787 1,885,2856.25%, 3/15/22 (a) 398 431,8305.63%, 4/15/23 468 486,720

SandRidge Energy, Inc.:8.75%, 1/15/20 30 31,5007.50%, 2/15/23 382 397,280

Summit Midstream Holdings LLC/SummitMidstream Finance Corp., 7.50%, 7/01/21 386 424,600

Ultra Petroleum Corp., 5.75%, 12/15/18 (a) 357 368,602Western Gas Partners LP, 5.38%, 6/01/21 710 807,078Whiting Petroleum Corp., 5.00%, 3/15/19 821 866,155The Williams Cos., Inc., Series A, 7.50%, 1/15/31 2,500 2,977,077

44,790,232Paper & Forest Products — 0.3%International Paper Co.:

7.50%, 8/15/21 75 95,6304.75%, 2/15/22 420 464,2686.00%, 11/15/41 435 522,873

NewPage Corp., 11.38%, 12/31/14 (h)(i) 397 —1,082,771

Pharmaceuticals — 1.0%Forest Laboratories, Inc. (a):

4.38%, 2/01/19 228 245,6045.00%, 12/15/21 379 417,936

Grifols Worldwide Operations Ltd., 5.25%,4/01/22 (a) 200 205,500

Jaguar Holding Co. II/Jaguar Merger Sub, Inc.,9.50%, 12/01/19 (a) 520 565,500

Salix Pharmaceuticals Ltd., 6.00%, 1/15/21 (a) 162 175,770

Corporate BondsPar

(000) Value

Pharmaceuticals (concluded)Valeant Pharmaceuticals International, Inc. (a):

6.75%, 8/15/18 USD 1,321 $ 1,413,4706.38%, 10/15/20 575 601,5945.63%, 12/01/21 376 382,110

4,007,484Real Estate Investment Trusts (REITs) — 1.1%ARC Properties Operating Partnership LP/Clark

Acquisition LLC, 4.60%, 2/06/24 (a) 1,830 1,883,989Felcor Lodging LP, 5.63%, 3/01/23 247 250,087Simon Property Group LP, 4.75%, 3/15/42 835 915,342Ventas Realty LP/Ventas Capital Corp.,

4.75%, 6/01/21 275 303,112Vornado Realty LP, 5.00%, 1/15/22 1,185 1,304,737

4,657,267Real Estate Management & Development — 0.9%Lennar Corp., 4.75%, 11/15/22 440 433,400Northwest Florida Timber Finance LLC,

4.75%, 3/04/29 (a) 2,300 2,409,020Realogy Corp., 7.63%, 1/15/20 (a)(d) 996 1,085,640

3,928,060Road & Rail — 0.7%Burlington Northern Santa Fe LLC, 5.75%, 5/01/40 950 1,153,820The Hertz Corp.:

4.25%, 4/01/18 236 237,1805.88%, 10/15/20 230 236,6137.38%, 1/15/21 620 663,4006.25%, 10/15/22 385 401,362

2,692,375Semiconductors & Semiconductor Equipment — 0.1%NXP BV/NXP Funding LLC, 5.75%, 2/15/21 (a) 470 493,500Software — 0.5%Nuance Communications, Inc., 5.38%,

8/15/20 (a) 1,085 1,090,425Oracle Corp., 5.38%, 7/15/40 775 909,880

2,000,305Specialty Retail — 0.6%The Home Depot, Inc., 5.88%, 12/16/36 (d) 830 1,052,592QVC, Inc. (a):

7.50%, 10/01/19 395 412,3257.38%, 10/15/20 975 1,042,187

2,507,104Textiles, Apparel & Luxury Goods — 0.3%PVH Corp., 4.50%, 12/15/22 490 486,325Springs Industries, Inc., 6.25%, 6/01/21 402 404,010The William Carter Co., 5.25%, 8/15/21 328 342,760

1,233,095Tobacco — 1.2%Altria Group, Inc.:

9.95%, 11/10/38 258 438,25710.20%, 2/06/39 447 773,8065.38%, 1/31/44 2,015 2,238,032

Lorillard Tobacco Co., 7.00%, 8/04/41 500 631,462Reynolds American, Inc., 4.75%, 11/01/42 1,050 1,024,752

5,106,309Wireless Telecommunication Services — 2.2%America Movil SAB de CV, 2.38%, 9/08/16 795 814,318Crown Castle International Corp., 5.25%, 1/15/23 465 480,257Crown Castle Towers LLC, 6.11%, 1/15/40 (a) 1,560 1,824,400Digicel Group Ltd., 8.25%, 9/30/20 (a) 460 496,800Digicel Ltd., 6.00%, 4/15/21 (a) 750 772,500Rogers Communications, Inc., 7.50%, 8/15/38 (d) 1,150 1,583,338SBA Tower Trust, 5.10%, 4/15/42 (a) 360 382,507




Corporate BondsPar

(000) Value

Wireless Telecommunication Services (concluded)Sprint Communications, Inc. (a):

9.00%, 11/15/18 USD 530 $ 630,0387.00%, 3/01/20 888 990,120

Sprint Corp., 7.88%, 9/15/23 (a) 1,041 1,116,4729,090,750

Total Corporate Bonds — 79.8% 329,021,222

Foreign Agency Obligations

Brazilian Government International Bond,5.00%, 1/27/45 2,862 2,933,550

Cyprus Government International Bond,4.63%, 2/03/20 EUR 605 790,965

Iceland Government International Bond,5.88%, 5/11/22 USD 1,775 2,019,959

Italian Republic, 5.38%, 6/15/33 455 553,009Portugal Government International Bond,

5.13%, 10/15/24 (a) 625 646,625Slovenia Government International Bond,

5.85%, 5/10/23 (a) 432 488,592Total Foreign Agency Obligations — 1.8% 7,432,700

Municipal Bonds

City of Detroit Michigan, GO, Taxable CapitalImprovement, Limited Tax, Series A-2,8.00%, 4/01/15 (h)(i) 1,525 427,153

City of New York New York Municipal Water FinanceAuthority, Refunding RB, 2nd General Resolution:

Series EE, 5.50%, 6/15/43 465 549,756Series GG, Build America Bonds,

5.72%, 6/15/42 700 904,106Water & Sewer System, Fiscal 2011, Series EE,

5.38%, 6/15/43 385 450,900East Bay Municipal Utility District, RB, Build America

Bonds, 5.87%, 6/01/40 950 1,225,795Indianapolis Local Public Improvement Bond Bank,

RB, Build America Bonds, 6.12%, 1/15/40 1,275 1,665,953Metropolitan Transportation Authority, RB, Build

America Bonds, Series C, 7.34%, 11/15/39 625 952,231Municipal Electric Authority of Georgia Plant Vogtle

Units 3 & 4, Refunding RB, Build America Bonds,Series A, 7.06%, 4/01/57 1,000 1,156,240

New York State Dormitory Authority, RB, BuildAmerica Bonds:

5.63%, 3/15/39 550 674,9605.60%, 3/15/40 950 1,181,971

Port Authority of New York & New Jersey, RB,Consolidated, 159th Series, 6.04%, 12/01/29 385 486,694

State of California, GO, Build America Bonds,Various Purpose:

7.55%, 4/01/39 140 211,4747.63%, 3/01/40 860 1,299,451

State of Illinois, GO, Pension, 5.10%, 6/01/33 1,000 991,670University of California, RB, Build America Bonds,

5.95%, 5/15/45 445 565,453Total Municipal Bonds — 3.1% 12,743,807

Non-Agency Mortgage-Backed SecuritiesPar

(000) Value

Collateralized Mortgage Obligations — 1.3%Banc of America Funding Corp., Series 2007-2,

Class 1A2, 6.00%, 3/25/37 USD 660 $ 556,822Countrywide Alternative Loan Trust:

Series 2005-64CB, Class 1A15,5.50%, 12/25/35 1,037 982,209

Series 2006-OA21, Class A1, 0.35%,3/20/47 (b) 675 546,760

Countrywide Home Loan Mortgage Pass-ThroughTrust, Series 2006-OA5, Class 2A1,0.36%, 4/25/46 (b) 281 234,968

Credit Suisse Mortgage Capital Certificates,Series 2011-2R, Class 2A1, 2.61%,7/27/36 (a)(b) 947 959,815

GMAC Mortgage Corp. Loan Trust,Series 2005-AR3, Class 5A1, 5.06%,6/19/35 (b) 553 557,069

GSR Mortgage Loan Trust:Series 2006-4F, Class 1A1, 5.00%, 5/25/36 269 261,634Series 2007-4F, Class 3A1, 6.00%, 7/25/37 442 402,073

Homebanc Mortgage Trust, Series 2006-2,Class A1, 0.34%, 12/25/36 (b) 455 400,434

JP Morgan Mortgage Trust, Series 2006-S3,Class 1A12, 6.50%, 8/25/36 161 143,803

Merrill Lynch Mortgage Investors, Inc.,Series 2006-A3, Class 3A1, 2.71%, 5/25/36 (b) 535 439,681

5,485,268Commercial Mortgage-Backed Securities — 12.5%Banc of America Merrill Lynch Commercial Mortgage

Trust, Class A4:Series 2007-1, 5.45%, 1/15/49 500 536,104Series 2007-2, 5.78%, 4/10/49 (b) 750 818,490

Bear Stearns Commercial Mortgage Securities,Series 2005-PWR9, Class A4A, 4.87%, 9/11/42 663 681,893

Citigroup Commercial Mortgage Trust (b):Series 2008-C7, Class A4, 6.34%, 12/10/49 1,370 1,518,126Series 2013-GC15, Class B, 5.28%, 9/10/46 3,590 3,980,118Series 2013-GC15, Class XA, 1.46%, 9/10/46 13,171 925,360

Citigroup/Deutsche Bank Commercial MortgageTrust, Series 2006-CD3, Class AM,5.65%, 10/15/48 1,093 1,182,145

Commercial Mortgage Trust:Series 2006-C7, Class AM, 5.97%,

6/10/46 (b) 1,750 1,872,043Series 2013-CR11, Class B, 5.33%,

10/10/46 (b) 3,495 3,881,061Series 2013-CR11, Class C, 5.34%,

10/10/46 (a)(b) 3,260 3,514,371Series 2013-LC6, Class B, 3.74%, 1/10/46 695 699,949Series 2013-LC6, Class D, 4.43%,

1/10/46 (a)(b) 835 787,811Credit Suisse Commercial Mortgage Trust:

Series 2006-C3, Class AM, 6.00%,6/15/38 (b) 1,000 1,072,522

Series 2006-C5, Class AM, 5.34%, 12/15/39 1,750 1,881,647Series 2010-RR2, Class 2A, 6.10%,

9/15/39 (a)(b) 774 831,994Credit Suisse First Boston Mortgage Securities

Corp., Series 2005-C3, Class AJ,4.77%, 7/15/37 705 718,278

DBRR Trust, Series 2011-C32, Class A3A,5.93%, 6/17/49 (a)(b) 365 399,017

Greenwich Capital Commercial Funding Corp.,Series 2006-GG7, Class A4, 6.01%, 7/10/38 (b) 1,128 1,201,678

GS Mortgage Securities Corp. II, Series 2013-GC10,Class B, 3.68%, 2/10/46 (a) 1,250 1,250,235





(000) Value

Commercial Mortgage-Backed Securities (concluded)Hilton USA Trust, Series 2013- HLT,

4.41%, 11/05/30 USD 2,950 $ 3,020,517JPMBB Commercial Mortgage Securities Trust,

Series 2013-C15, Class D, 5.25%,11/15/45 (a)(b) 800 794,388

JPMorgan Chase Commercial Mortgage SecuritiesCorp., Series 2004-LN2, Class A2,5.12%, 7/15/41 105 105,659

JPMorgan Chase Commercial Mortgage SecuritiesTrust, Series 2006-CB14, Class AM,5.62%, 12/12/44 (b) 330 346,995

LB-UBS Commercial Mortgage Trust (b):Series 2004-C8, Class C, 4.93%, 12/15/39 1,385 1,391,847Series 2007-C6, Class A4, 5.86%, 7/15/40 4,898 5,209,629Series 2007-C7, Class A3, 5.87%, 9/15/45 1,100 1,223,175

Morgan Stanley Capital I Trust, Series 2007-HQ11,Class A4, 5.45%, 2/12/44 (b) 4,000 4,327,020

RCMC LLC, Series 2012-CRE1, Class A,5.62%, 11/15/44 (a) 663 682,854

Titan Europe PLC, Series 2007-1X, Class A,0.81%, 1/20/17 (b) GBP 1,607 2,535,060

Wachovia Bank Commercial Mortgage Trust,Series 2007-C33, Class A4, 6.14%, 2/15/51 (b) USD 2,185 2,369,737

WF-RBS Commercial Mortgage Trust,Series 2012-C8:

Class B, 4.31%, 8/15/45 695 731,110Class C, 5.04%, 8/15/45 (b) 895 958,596

51,449,429Interest Only Commercial Mortgage-Backed Securities — 0.8%Morgan Stanley Bank of America Merrill Lynch Trust,

Series 2012-C5, Class XA, 2.02%,8/15/45 (a)(b) 15,528 1,369,235

WF-RBS Commercial Mortgage Trust,Class XA (a)(b):

Series 2012-C8, 2.38%, 8/15/45 5,942 650,086Series 2012-C9, 2.39%, 11/15/45 10,526 1,236,526

3,255,847Total Non-Agency Mortgage-Backed Securities — 14.6% 60,190,544

Preferred Securities

Capital Trusts

Banks — 0.7%BNP Paribas SA, 7.20% (a)(b)(g) 1,000 1,167,500Wachovia Capital Trust III, 5.57% (b)(g) 1,025 1,004,500Wells Fargo & Co., Series S, 5.90% (b)(g) 795 832,763

3,004,763Capital Markets — 1.4%The Bank of New York Mellon Corp., Series D,

4.50% (b)(g) 4,198 3,935,625Credit Suisse Group AG, 7.50%, (a)(b)(g) 1,500 1,627,500State Street Capital Trust IV, 1.23%, 6/01/77 (b) 70 60,462

5,623,587Diversified Financial Services — 4.5%Citigroup, Inc., (b)(g):

Series D, 5.35% 1,050 1,002,612Series M, 6.30% 2,000 2,035,000

Credit Agricole SA, 7.88% (a)(b)(g) 1,000 1,078,750General Electric Capital Corp., Series B, 6.25% (b)(g) 900 1,004,625JPMorgan Chase & Co. (b)(g):

Series 1, 7.90% 3,500 3,871,875Series Q, 5.15% 1,500 1,460,625Series U, 6.13% 500 511,250Series V, 5.00% 3,000 2,974,968

Preferred SecuritiesPar

(000) Value

Diversified Financial Services (concluded)Morgan Stanley, Series H, 5.45% (b)(g) USD 875 $ 890,313Societe Generale SA (a)(b)(g):

6.00% 2,860 2,731,3007.88% 1,000 1,042,700

18,604,018Electric Utilities — 0.5%Electricite de France SA, 5.25% (a)(b)(g) 2,100 2,168,250Insurance — 3.2%The Allstate Corp. (b):

5.75%, 8/15/53 1,000 1,070,0006.50%, 5/15/67 1,950 2,137,687

American International Group, Inc.,8.18%, 5/15/68 (b) 970 1,336,175

AXA SA, 6.46% (a)(b)(g) 1,025 1,087,781Genworth Holdings, Inc., 6.15%, 11/15/66 (b) 1,150 1,012,000Liberty Mutual Group, Inc., 7.00%, 3/15/67 (a)(b) 975 1,035,938Lincoln National Corp., 6.05%, 4/20/67 (b) 675 692,719Metlife Capital Trust IV, 7.88%, 12/15/67 (a) 640 817,600Swiss Re Capital I LP, 6.85% (a)(b)(g) 1,060 1,115,650Voya Financial, Inc., 5.65%, 5/15/53 (b) 2,250 2,289,375XL Group PLC, Series E, 6.50% (b)(g) 815 787,494

13,382,419Total Capital Trusts — 10.3% 42,783,037

Preferred Stocks Shares

Banks — 1.2%U.S. Bancorp, 6.00% (b)(g) 150,000 4,108,500Wells Fargo & Co., 5.85% (b)(g) 37,500 977,625

5,086,125Capital Markets — 0.4%The Goldman Sachs Group, Inc., Series J,

5.50% (b)(g) 46,000 1,126,080SCE Trust III, 5.75% (b)(g) 12,657 336,423

1,462,503Total Preferred Stocks — 1.6% 6,548,628

Trust Preferred

Banks — 0.1%Citigroup Capital XIII, 7.88%, 10/30/40 (g) 14,773 399,912Total Preferred Securities — 12.0% 49,731,577

U.S. Government Sponsored Agency SecuritiesPar

(000)

Agency Obligations — 2.5%Fannie Mae (d):

0.00%, 10/09/19 (j) USD 7,055 6,244,4585.63%, 7/15/37 775 1,057,629

Federal Home Loan Bank (d):5.25%, 12/09/22 675 813,7895.37%, 9/09/24 1,075 1,318,743

Resolution Funding Corp.,0.00%, 7/15/18–10/15/18 (j) 1,050 989,331

10,423,950





(000) Value

Collateralized Mortgage Obligations — 0.1%Fannie Mae Mortgage-Backed Securities,

Series 2005-5, Class PK, 5.00%, 12/25/34 USD 257 $ 272,626Commercial Mortgage-Backed Securities — 0.7%Freddie Mac Mortgage-Backed Securities (b):

Series 2013-K24, Class B, 3.62%,11/25/45 (a) 1,750 1,728,745

Series K013, Class A2, 3.97%, 1/25/21 940 1,027,152Series 2012-K706, Class C, 4.16%,

11/25/44 (a) 165 170,3522,926,249

Interest Only Collateralized Mortgage Obligations — 1.8%Fannie Mae Mortgage-Backed Securities:

Series 2012-96, Class DI, 4.00%, 2/25/27 6,075 670,295Series 2012-M9, Class X1, 4.23%,

12/25/17 (b) 12,417 1,336,478Series 2012-47, Class NI, 4.50%, 4/25/42 4,658 774,410

Freddie Mac Mortgage-Backed Securities:Series K707, Class X1, 1.69%, 12/25/18 (b) 2,468 143,038Series K710, Class X1, 1.91%, 5/25/19 (b) 8,538 607,632Series 2611, Class QI, 5.50%, 9/15/32 828 89,875

Ginnie Mae Mortgage-Backed Securities (b):Series 2009-78, Class SD, 6.04%, 9/20/32 4,846 933,409Series 2009-116, Class KS, 6.32%, 12/16/39 2,369 367,790Series 2011-52, Class NS, 6.52%, 4/16/41 13,067 2,397,384

7,320,311Mortgage-Backed Securities — 7.3%Fannie Mae Mortgage-Backed Securities:

3.00%, 9/01/44 (k) 6,800 6,770,2504.00%, 12/01/41–9/01/44 (k) 4,930 5,230,1794.50%, 7/01/41–9/01/44 (k) 12,018 12,988,1995.00%, 8/01/34 2,094 2,314,0765.50%, 6/01/38 1,218 1,363,0936.00%, 12/01/38 994 1,122,586

Freddie Mac Mortgage-Backed Securities,6.00%, 10/1/14–12/1/18 237 246,041

Ginnie Mae Mortgage-Backed Securities,5.50%, 8/15/33 63 69,746

30,104,170Total U.S. Government Sponsored Agency Securities — 12.4% 51,047,306

U.S. Treasury ObligationsPar

(000) Value

U.S. Treasury Bonds (d):8.13%, 8/15/21 USD 1,550 $ 2,171,5756.13%, 8/15/29 5,000 7,135,1553.50%, 2/15/39 330 359,0304.25%, 5/15/39 3,045 3,722,0374.38%, 5/15/40 6,375 7,965,7604.75%, 2/15/41 1,630 2,158,4774.38%, 5/15/41 800 1,003,2503.13%, 11/15/41 9,930 10,078,9503.13%, 2/15/42 6,268 6,354,1853.00%, 5/15/42 2,730 2,699,2873.13%, 2/15/43 2,337 2,358,4053.75%, 11/15/43 1,065 1,205,1133.63%, 2/15/44 6,500 7,194,687

U.S. Treasury Notes (d):2.25%, 7/31/18 495 511,8611.75%, 5/15/22 156 151,7592.50%, 5/15/24 3,450 3,499,403

Total U.S. Treasury Obligations — 14.2% 58,568,934

Total Long-Term Investments(Cost — $558,883,581) — 144.4% 595,493,553

Short-Term Securities Shares

BlackRock Liquidity Funds, TempFund, InstitutionalClass, 0.03% (l)(m) 742,474 742,474

Total Short-Term Securities(Cost — $742,474) — 0.2% 742,474

Options Purchased

(Cost — $1,408,344) — 0.2% 954,199

Total Investments Before Options Written(Cost — $561,034,399) — 144.8% 597,190,226

Options Written

(Premiums Received — $3,343,622) — (0.6)% (2,580,908)

Total Investments, Net of Options Written — 144.2% 594,609,318Liabilities in Excess of Other Assets — (44.2)% (182,530,906)Net Assets — 100.0% $ 412,078,412

Notes to Schedule of Investments

(a) Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration toqualified institutional investors.

(b) Variable rate security. Rate shown is as of report date.

(c) When-issued security. Unsettled when-issued transactions were as follows:

Counterparty ValueUnrealized

Appreciation

Morgan Stanley & Co. LLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,852,000 —

(d) All or a portion of security has been pledged as collateral in connection with outstanding reverse repurchase agreements.

(e) Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date.

(f) Convertible security.

(g) Security is perpetual in nature and has no stated maturity date.

(h) Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.

(i) Non-income producing security.

(j) Zero-coupon bond.




(k) Represents or includes a TBA transaction. Unsettled TBA transactions as of August 31, 2014 were as follows:


Appreciation

Credit Suisse Securities (USA) LLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $6,770,250 $105,187Goldman Sachs & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $2,114,388 $ 15,274J.P. Morgan Securities LLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $9,180,000 $ 25,234

(l) Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2014, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

Affiliate

SharesHeld at

August 31, 2013Net

Activity

SharesHeld at

August 31, 2014 Income

BlackRock Liquidity Funds, TempFund, Institutional Class . . . . . . . . . . . . . . . . . . . . . . 5,335,491 (4,593,017) 742,474 $1,865

(m) Represents the current yield as of report date.

• Reverse repurchase agreements outstanding as of August 31, 2014 were as follows:

CounterpartyInterest

RateTradeDate

MaturityDate1 Face Value

Face ValueIncludingAccruedInterest

Merrill Lynch, Pierce, Fenner & Smith, Inc. 0.11% 4/02/13 Open $ 875,812 $ 877,052Merrill Lynch, Pierce, Fenner & Smith, Inc. 0.11% 4/02/13 Open 1,097,844 1,099,397BNP Paribas Securities Corp. 0.11% 4/03/13 Open 851,537 852,697Merrill Lynch, Pierce, Fenner & Smith, Inc. 0.09% 4/25/13 Open 8,430,937 8,435,371BNP Paribas Securities Corp. 0.04% 4/29/13 Open 1,039,000 1,039,318BNP Paribas Securities Corp. 0.08% 4/29/13 Open 377,850 378,127BNP Paribas Securities Corp. 0.34% 5/24/13 Open 1,342,000 1,347,894Barclays Capital, Inc. 0.60% 6/03/13 Open 3,258,750 3,283,408Barclays Capital, Inc. 0.35% 6/24/13 Open 3,334,398 3,348,467BNP Paribas Securities Corp. 0.07% 6/24/13 Open 5,876,250 5,880,582BNP Paribas Securities Corp. 0.34% 9/30/13 Open 3,569,000 3,580,326BNP Paribas Securities Corp. 0.36% 9/30/13 Open 2,294,000 2,301,708BNP Paribas Securities Corp. 0.36% 9/30/13 Open 871,000 873,927BNP Paribas Securities Corp. 0.36% 9/30/13 Open 1,529,000 1,534,137BNP Paribas Securities Corp. 0.35% 10/22/13 Open 4,540,900 4,554,718Credit Suisse Securities (USA) LLC 0.35% 10/22/13 Open 2,125,413 2,131,880UBS Securities LLC 0.28% 2/10/14 Open 3,373,000 3,378,299UBS Securities LLC 0.32% 2/10/14 Open 2,369,000 2,373,254UBS Securities LLC 0.32% 2/10/14 Open 1,348,000 1,350,420UBS Securities LLC 0.32% 2/10/14 Open 2,289,000 2,293,110UBS Securities LLC 0.32% 2/10/14 Open 1,355,000 1,357,433UBS Securities LLC 0.32% 2/10/14 Open 1,416,000 1,418,542UBS Securities LLC 0.33% 2/10/14 Open 1,073,000 1,074,987UBS Securities LLC 0.34% 2/10/14 Open 1,233,000 1,235,352UBS Securities LLC 0.34% 2/10/14 Open 3,805,000 3,812,259UBS Securities LLC 0.34% 2/10/14 Open 1,410,000 1,412,690UBS Securities LLC 0.34% 2/10/14 Open 1,139,000 1,141,173UBS Securities LLC 0.34% 2/10/14 Open 827,000 828,578UBS Securities LLC 0.34% 2/10/14 Open 1,853,000 1,856,535UBS Securities LLC 0.40% 2/10/14 Open 496,000 497,113RBC Capital Markets, LLC 0.11% 3/13/14 Open 1,464,000 1,464,699Deutsche Bank Securities, Inc. 0.07% 4/16/14 Open 2,000,000 2,000,527Deutsche Bank Securities, Inc. 0.11% 4/16/14 Open 6,100,000 6,102,555Deutsche Bank Securities, Inc. 0.34% 4/21/14 Open 1,896,000 1,898,369UBS Securities LLC 0.32% 5/13/14 Open 1,610,000 1,611,574UBS Securities LLC 0.34% 5/13/14 Open 1,172,000 1,173,218UBS Securities LLC 0.34% 5/13/14 Open 633,000 633,658UBS Securities LLC 0.40% 5/13/14 Open 3,880,000 3,884,742Barclays Capital, Inc. 0.35% 5/14/14 Open 534,000 534,571Barclays Capital, Inc. 0.35% 5/14/14 Open 556,000 556,595Barclays Capital, Inc. 0.35% 5/14/14 Open 354,000 354,379Barclays Capital, Inc. 0.35% 5/14/14 Open 272,000 272,280Barclays Capital, Inc. 0.35% 5/14/14 Open 979,000 980,037Barclays Capital, Inc. 0.35% 5/14/14 Open 468,000 468,453Barclays Capital, Inc. 0.35% 5/14/14 Open 294,000 294,303Barclays Capital, Inc. 0.35% 5/14/14 Open 738,000 738,715BNP Paribas Securities Corp. 0.01% 5/20/14 Open 7,043,750 7,044,971BNP Paribas Securities Corp. 0.08% 5/20/14 Open 697,812 697,933Merrill Lynch, Pierce, Fenner & Smith, Inc. 0.05% 6/11/14 Open 3,524,588 3,525,631

Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)



Reverse repurchase agreements outstanding as of August 31, 2014 were as follows (concluded):


RateTradeDate



Barclays Capital, Inc. (1.75)% 6/25/14 Open $ 1,102,710 $ 1,099,065Barclays Capital, Inc. 0.35% 6/26/14 Open 2,981,250 2,983,192BNP Paribas Securities Corp. 0.08% 7/07/14 Open 9,483,150 9,488,186BNP Paribas Securities Corp. 0.08% 7/07/14 Open 2,535,487 2,535,797BNP Paribas Securities Corp. 0.33% 7/07/14 Open 1,069,000 1,069,539BNP Paribas Securities Corp. 0.33% 7/07/14 Open 1,823,000 1,823,919BNP Paribas Securities Corp. 0.33% 7/07/14 Open 2,172,000 2,173,095BNP Paribas Securities Corp. 0.33% 7/07/14 Open 968,000 968,488BNP Paribas Securities Corp. 0.33% 7/07/14 Open 963,000 963,485BNP Paribas Securities Corp. 0.33% 7/07/14 Open 1,884,000 1,884,950BNP Paribas Securities Corp. 0.34% 7/07/14 Open 2,300,000 2,301,195BNP Paribas Securities Corp. 0.34% 7/07/14 Open 490,000 490,255BNP Paribas Securities Corp. 0.35% 7/07/14 Open 1,203,000 1,203,643BNP Paribas Securities Corp. 0.35% 7/07/14 Open 834,000 834,446BNP Paribas Securities Corp. 0.35% 7/07/14 Open 853,000 853,456Credit Suisse Securities (USA) LLC 0.35% 7/07/14 Open 1,671,156 1,672,050Credit Suisse Securities (USA) LLC 0.35% 7/07/14 Open 1,858,594 1,859,588Credit Suisse Securities (USA) LLC 0.35% 7/07/14 Open 1,510,500 1,511,308Credit Suisse Securities (USA) LLC 0.35% 7/07/14 Open 2,011,500 2,012,576Credit Suisse Securities (USA) LLC 0.35% 7/07/14 Open 1,747,463 1,748,397Credit Suisse Securities (USA) LLC 0.35% 7/07/14 Open 3,373,625 3,375,429BNP Paribas Securities Corp. 0.06% 7/08/14 Open 6,898,125 6,898,539BNP Paribas Securities Corp. 0.09% 7/08/14 Open 1,147,537 1,147,710BNP Paribas Securities Corp. 0.09% 7/08/14 Open 516,038 516,115Credit Suisse Securities (USA) LLC 0.09% 7/23/14 Open 2,225,000 2,225,217Credit Suisse Securities (USA) LLC (0.03%) 8/14/14 Open 3,497,438 3,497,385Credit Suisse Securities (USA) LLC 0.14% 8/12/14 9/11/14 3,562,000 3,562,277BNP Paribas Securities Corp. 0.18% 8/15/14 9/11/14 1,089,000 1,089,093Citigroup Global Markets, Inc. 0.16% 8/18/14 9/16/14 6,726,000 6,726,418Total $168,111,414 $168,300,777

1 Certain agreements have no stated maturity and can be terminated by either party at any time.

• Financial futures contracts outstanding as of August 31, 2014 were as follows:

ContractsPurchased

(Sold) Issue Exchange ExpirationNotional

Value

UnrealizedAppreciation

(Depreciation)

48 2-Year U.S. Treasury Note Chicago Board of Trade December 2014 USD 10,514,250 $ 4,90331 Long U.S. Treasury Bond Chicago Board of Trade December 2014 USD 4,342,906 16,008

109 Ultra Long U.S. Treasury Bond Chicago Board of Trade December 2014 USD 16,949,500 130,137(129) 5-Year U.S. Treasury Note Chicago Board of Trade December 2014 USD 15,329,836 (19,218)(272) 10-Year U.S. Treasury Note Chicago Board of Trade December 2014 USD 34,212,500 (99,118)

Total $ 32,712

• Forward foreign currency exchange contracts outstanding as of August 31, 2014 were as follows:

Currency Purchased Currency Sold CounterpartySettlement

Date


(Depreciation)

EUR 220,000 USD 294,650 Bank of America N.A. 10/21/14 $ (5,496)USD 2,474,207 EUR 1,829,000 JPMorgan Chase Bank N.A. 10/21/14 70,282USD 11,289,315 GBP 6,607,000 Bank of America N.A. 10/21/14 324,965

Total $389,751




• OTC interest rate swaptions purchased as of August 31, 2014 were as follows:

Description CounterpartyPut/Call

ExerciseRate

Pay/ReceiveExercise Rate

Floating RateIndex

ExpirationDate

NotionalAmount(000)

MarketValue

10-Year Interest Rate Swap Credit Suisse International Call 2.40% Receive 3-month LIBOR 9/02/14 USD 11,200 $ 1,65430-Year Interest Rate Swap Deutsche Bank AG Call 3.30% Receive 3-month LIBOR 5/22/17 USD 4,400 374,65310-Year Interest Rate Swap Credit Suisse International Put 3.45% Pay 3-month LIBOR 9/02/14 USD 67,100 —1-Year Interest Rate Swap Bank of America N.A. Put 0.60% Pay 3-month LIBOR 10/02/14 USD 11,850 2710-Year Interest Rate Swap Barclays Bank PLC Put 4.55% Pay 3-month LIBOR 4/25/17 USD 10,400 147,46410-Year Interest Rate Swap JPMorgan Chase Bank N.A. Put 4.60% Pay 3-month LIBOR 4/28/17 USD 10,400 141,66130-Year Interest Rate Swap Deutsche Bank AG Put 4.30% Pay 3-month LIBOR 5/22/17 USD 4,400 147,82610-Year Interest Rate Swap Deutsche Bank AG Put 4.50% Pay 3-month LIBOR 5/22/18 USD 6,000 140,914

Total $ 954,199

• OTC interest rate swaptions written as of August 31, 2014 were as follows:


ExerciseRate


Floating RateIndex

ExpirationDate

NotionalAmount(000)

MarketValue

10-Year Interest Rate Swap Credit Suisse International Call 2.60% Pay 3-month LIBOR 9/02/14 USD 11,200 $ (104,844)10-Year Interest Rate Swap Barclays Bank PLC Call 3.26% Pay 3-month LIBOR 11/14/14 USD 6,200 (387,091)10-Year Interest Rate Swap JPMorgan Chase Bank N.A. Call 3.25% Pay 3-month LIBOR 11/14/14 USD 6,200 (384,337)10-Year Interest Rate Swap Deutsche Bank AG Call 2.85% Pay 3-month LIBOR 11/17/14 USD 7,500 (212,942)10-Year Interest Rate Swap Deutsche Bank AG Call 2.80% Pay 3-month LIBOR 2/10/15 USD 2,700 (67,086)10-Year Interest Rate Swap JPMorgan Chase Bank N.A. Call 2.50% Pay 3-month LIBOR 5/22/15 USD 12,000 (152,889)10-Year Interest Rate Swap Deutsche Bank AG Call 3.10% Pay 3-month LIBOR 2/26/16 USD 6,000 (241,173)10-Year Interest Rate Swap Deutsche Bank AG Call 3.15% Pay 3-month LIBOR 3/17/16 USD 6,000 (256,324)10-Year Interest Rate Swap Credit Suisse International Put 3.10% Receive 3-month LIBOR 9/02/14 USD 11,200 —10-Year Interest Rate Swap Deutsche Bank AG Put 2.80% Receive 3-month LIBOR 9/15/14 USD 3,700 (416)10-Year Interest Rate Swap Barclays Bank PLC Put 3.26% Receive 3-month LIBOR 11/14/14 USD 6,200 (1,983)10-Year Interest Rate Swap JPMorgan Chase Bank N.A. Put 3.25% Receive 3-month LIBOR 11/14/14 USD 6,200 (2,039)10-Year Interest Rate Swap Deutsche Bank AG Put 3.70% Receive 3-month LIBOR 11/17/14 USD 7,500 (256)10-Year Interest Rate Swap Barclays Bank PLC Put 3.15% Receive 3-month LIBOR 11/24/14 USD 5,000 (4,160)10-Year Interest Rate Swap Deutsche Bank AG Put 3.80% Receive 3-month LIBOR 2/10/15 USD 2,700 (1,494)10-Year Interest Rate Swap Bank of America N.A. Put 3.70% Receive 3-month LIBOR 2/25/15 USD 1,500 (1,497)10-Year Interest Rate Swap Barclays Bank PLC Put 3.65% Receive 3-month LIBOR 4/15/15 USD 1,100 (2,520)10-Year Interest Rate Swap Citibank N.A. Put 3.65% Receive 3-month LIBOR 4/15/15 USD 1,000 (2,291)10-Year Interest Rate Swap Deutsche Bank AG Put 3.65% Receive 3-month LIBOR 4/15/15 USD 900 (2,062)10-Year Interest Rate Swap JPMorgan Chase Bank N.A. Put 3.50% Receive 3-month LIBOR 5/22/15 USD 12,000 (56,968)10-Year Interest Rate Swap Deutsche Bank AG Put 4.15% Receive 3-month LIBOR 2/26/16 USD 6,000 (44,377)10-Year Interest Rate Swap Citibank N.A. Put 4.15% Receive 3-month LIBOR 2/29/16 USD 6,000 (44,771)10-Year Interest Rate Swap Barclays Bank PLC Put 4.05% Receive 3-month LIBOR 4/18/16 USD 1,700 (17,355)10-Year Interest Rate Swap Deutsche Bank AG Put 4.05% Receive 3-month LIBOR 4/18/16 USD 1,600 (16,335)10-Year Interest Rate Swap Goldman Sachs Bank USA Put 4.05% Receive 3-month LIBOR 4/18/16 USD 1,700 (17,355)10-Year Interest Rate Swap BNP Paribas S.A. Put 4.10% Receive 3-month LIBOR 4/25/16 USD 3,600 (35,272)10-Year Interest Rate Swap Citibank N.A. Put 4.05% Receive 3-month LIBOR 4/25/16 USD 5,000 (52,239)10-Year Interest Rate Swap Barclays Bank PLC Put 4.05% Receive 3-month LIBOR 4/25/17 USD 8,500 (191,317)10-Year Interest Rate Swap JPMorgan Chase Bank N.A. Put 4.10% Receive 3-month LIBOR 4/28/17 USD 8,500 (183,667)10-Year Interest Rate Swap Deutsche Bank AG Put 6.00% Receive 3-month LIBOR 5/22/18 USD 12,000 (95,848)

Total $(2,580,908)

• Centrally cleared interest rate swaps outstanding as of August 31, 2014 were as follows:

FixedRate

FloatingRate Clearinghouse

EffectiveDate

ExpirationDate

NotionalAmount(000)


(Depreciation)

0.56%1 3-month LIBOR Chicago Mercantile N/A 11/30/18 USD 20,900 $ (45,712)1.69%1 3-month LIBOR Chicago Mercantile 10/03/142 11/30/18 USD 10,200 (35,979)3.97%1 3-month LIBOR Chicago Mercantile 4/25/192 4/25/24 USD 4,900 (144,799)2.77%1 3-month LIBOR Chicago Mercantile N/A 4/29/24 USD 400 (10,851)2.65%1 3-month LIBOR Chicago Mercantile N/A 6/30/24 USD 4,800 72,2632.62%1 3-month LIBOR Chicago Mercantile N/A 7/01/24 USD 500 6,1322.65%1 3-month LIBOR Chicago Mercantile N/A 7/18/24 USD 2,600 (38,543)2.59%1 3-month LIBOR Chicago Mercantile N/A 7/22/24 USD 2,300 21,3902.62%1 3-month LIBOR Chicago Mercantile N/A 7/24/24 USD 3,100 36,0452.63%1 3-month LIBOR Chicago Mercantile N/A 8/07/24 USD 1,000 12,8592.59%1 3-month LIBOR Chicago Mercantile N/A 8/08/24 USD 1,000 9,1332.59%1 3-month LIBOR Chicago Mercantile N/A 8/08/24 USD 1,000 8,8152.58%1 3-month LIBOR Chicago Mercantile N/A 8/11/24 USD 500 4,151




Centrally cleared interest rate swaps outstanding as of August 31, 2014 were as follows (concluded):

FixedRate


EffectiveDate

ExpirationDate

NotionalAmount(000)


(Depreciation)

2.58%1 3-month LIBOR Chicago Mercantile N/A 8/11/24 USD 500 $ 3,9932.57%1 3-month LIBOR Chicago Mercantile N/A 8/11/24 USD 500 3,3352.57%1 3-month LIBOR Chicago Mercantile N/A 8/11/24 USD 500 3,4032.55%1 3-month LIBOR Chicago Mercantile N/A 8/12/24 USD 500 2,5062.55%1 3-month LIBOR Chicago Mercantile N/A 8/12/24 USD 500 2,5962.56%1 3-month LIBOR Chicago Mercantile N/A 8/22/24 USD 4,200 26,1402.55%1 3-month LIBOR Chicago Mercantile N/A 8/27/24 USD 4,800 22,3722.49%1 3-month LIBOR Chicago Mercantile N/A 9/02/24 USD 500 (2,635)3.19%1 3-month LIBOR Chicago Mercantile 4/22/152 4/22/25 USD 2,400 102,2452.97%1 3-month LIBOR Chicago Mercantile 6/03/152 6/03/25 USD 1,100 21,1793.65%1 3-month LIBOR Chicago Mercantile N/A 2/27/44 USD 2,500 (299,000)3.65%1 3-month LIBOR Chicago Mercantile 4/22/152 4/22/45 USD 1,100 (110,336)3.47%1 3-month LIBOR Chicago Mercantile 6/03/152 6/03/45 USD 500 (29,810)

Total $(359,108)

1 Trust pays the fixed rate and receives the floating rate.2 Forward swap.

• OTC credit default swaps — buy protection outstanding as of August 31, 2014 were as follows:

Issuer

PayFixedRate Counterparty

ExpirationDate

NotionalAmount(000)

MarketValue

PremiumsPaid

UnrealizedDepreciation

Radian Group, Inc. 5.00% Citibank N.A. 6/20/15 USD 1,400 $(49,097) $ 13,035 $ (62,132)The New York Times Co. 1.00% Barclays Bank PLC 12/20/16 USD 1,800 (19,418) 57,942 (77,360)Australia & New Zealand Banking Group Ltd. 1.00% Deutsche Bank AG 9/20/17 USD 1 (12) 9 (21)Westpac Banking Corp. 1.00% Deutsche Bank AG 9/20/17 USD 1 (12) 10 (22)

Total $(68,539) $ 70,996 $(139,535)

• OTC credit default swaps — sold protection outstanding as of August 31, 2014 were as follows:

Issuer

ReceiveFixedRate Counterparty

ExpirationDate

CreditRating3

NotionalAmount(000)4

MarketValue

PremiumsReceived


MetLife, Inc. 1.00% Morgan Stanley Capital Services LLC 9/20/16 A- USD 900 $ 14,483 $ (30,429) $ 44,912MetLife, Inc. 1.00% Deutsche Bank AG 9/20/16 A- USD 730 11,745 (25,168) 36,913MetLife, Inc. 1.00% Morgan Stanley Capital Services LLC 9/20/16 A- USD 275 4,425 (8,292) 12,717MetLife, Inc. 1.00% Goldman Sachs Bank USA 9/20/16 A- USD 500 8,044 (16,778) 24,822MetLife, Inc. 1.00% Credit Suisse International 9/20/16 A- USD 535 8,607 (20,171) 28,778MetLife, Inc. 1.00% Citibank N.A. 12/20/16 A- USD 298 5,130 (9,981) 15,111MetLife, Inc. 1.00% Citibank N.A. 12/20/16 A- USD 285 4,895 (10,366) 15,261

Total $ 57,329 $(121,185) $ 178,514

3 Using S&P’s rating of the issuer.4 The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement.

• For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexesor rating group indexes, and/or as defined by investment advisor. These definitions may not apply for purposes of this report, which may combine such industry sub-classificationsfor reporting ease.

• Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques arecategorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

• Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Trust has the ability to access

• Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similarassets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities,prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

• Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s ownassumptions used in determining the fair value of investments and derivative financial instruments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority tounobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputsused to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined basedon the lowest level input that is significant to the fair value measurement in its entirety.




Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers betweendifferent levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined forinvestments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication ofthe risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, please referto Note 2 of the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of August 31, 2014:

Level 1 Level 2 Level 3 Total

Assets:Investments:

Long-Term Investments:Asset-Backed Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — $ 20,001,624 $ 6,755,839 $ 26,757,463Corporate Bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 320,243,902 8,777,320 329,021,222Foreign Agency Obligations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 7,432,700 — 7,432,700Municipal Bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 12,743,807 — 12,743,807Non-Agency Mortgage-Backed Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 60,190,544 — 60,190,544Preferred Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 6,948,540 42,783,037 — 49,731,577U.S. Government Sponsored Agency Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 51,047,306 — 51,047,306U.S. Treasury Obligations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 58,568,934 — 58,568,934

Short-Term Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 742,474 — — 742,474Options Purchased:

Interest Rate Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 954,199 — 954,199

Total $ 7,691,014 $ 573,966,053 $15,533,159 $597,190,226


Derivative Financial Instruments1

Assets:Credit contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — $ 178,514 — $ 178,514Foreign currency exchange contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 395,247 — 395,247Interest rate contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 151,048 358,557 — 509,605

Liabilities:Credit contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — (139,535) — (139,535)Foreign currency exchange contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — (5,496) — (5,496)Interest rate contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (118,336) (3,298,573) (3,416,909)

Total $ 32,712 $ (2,511,286) — $ (2,478,574)

1 Derivative financial instruments are swaps, financial futures contracts, forward foreign currency exchange contracts and options written. Swaps, financial futures contractsand forward foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument and options written are shown at value.

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of August 31, 2014, such assets and/orliabilities are categorized within the disclosure hierarchy as follows:


Assets:Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 38,897 — — $ 38,897Cash pledged for centrally cleared swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 516,000 — — 516,000Cash pledged as collateral for OTC derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,200,000 — — 1,200,000Cash pledged for financial futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 122,000 — — 122,000Foreign currency at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,884 — — 15,884

Liabilities:Cash received as collateral for reverse repurchase agreements . . . . . . . . . . . . . . . . . . . . . . . — $ (2,378,000) — (2,378,000)Reverse repurchase agreements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — (168,300,777) — (168,300,777)

Total $ 1,892,781 $(170,678,777) — $(168,785,996)

There were no transfers between Level 1 and Level 2 during the year ended August 31, 2014.




A reconciliation of Level 3 investments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to netassets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

CommonStocks

Asset-BackedSecurities

CorporateBonds Total

Assets:Opening Balance, as of August 31, 2013 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 137,600 $10,951,144 $6,284,125 $17,372,869Transfers into Level 3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — — —Transfers out of Level 31 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — (5,953,535) — (5,953,535)Accrued discounts/premiums . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — (314,613) — (314,613)Net realized gain . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 46,225 — 46,225Net change in unrealized appreciation/depreciation2,3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (137,600) 254,774 228,086 345,260Purchases . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 6,242,847 2,265,109 8,507,956Sales . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — (4,471,003) — (4,471,003)

Closing Balance, as of August 31, 2014 — $ 6,755,839 $8,777,320 $15,533,159

Net change in unrealized appreciation/depreciation on investments still held atAugust 31, 20143 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — $ 254,380 $ 228,086 $ 482,466

1 As of August 31, 2013, the Trust used significant unobservable inputs in determining the value of certain investments. As of August 31, 2014, the Trust used observableinputs in determining the value of the same investments. As a result, investments with a beginning of period value of $5,953,535 transferred from Level 3 to Level 2 in thedisclosure hierarchy.

2 Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations.3 Any difference between Net change in unrealized appreciation/depreciation and Net change in unrealized appreciation/depreciation on investments held as of August 31,

2014 is generally due to investments no longer held or categorized as Level 3 at period end.

The Trust’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs.A significant change in third party information could results in a significantly lower or higher value of such Level 3 instruments.

Schedule of Investments (concluded) BlackRock Core Bond Trust (BHK)



Common Stocks Shares Value

Auto Components — 1.2%The Goodyear Tire & Rubber Co. 792,356 $ 20,577,485Lear Corp. 1,032 104,366

20,681,851Banks — 0.5%Citigroup, Inc. 161,430 8,337,859Capital Markets — 2.1%American Capital Ltd. (a) 1,875,455 29,050,798E*Trade Financial Corp. (a) 246,100 5,478,186Uranium Participation Corp. (a) 176,860 852,337

35,381,321Chemicals — 0.8%Advanced Emissions Solutions, Inc. (a) 168,580 3,673,358Huntsman Corp. 373,192 10,035,133LyondellBasell Industries NV, Class A 38 4,345

13,712,836Communications Equipment — 0.4%Nokia OYJ —ADR 877,870 7,347,772Containers & Packaging — 0.0%Smurfit Kappa Group PLC 12,980 293,722Diversified Consumer Services — 0.4%Cengage Thomson Learning (a) 211,142 6,686,234Diversified Financial Services — 2.4%Ally Financial, Inc. 1,101,275 27,091,365Ally Financial, Inc. (a) 142,289 3,500,309Kcad Holdings I Ltd. (a) 1,563,279,160 10,677,197

41,268,871Diversified Telecommunication Services — 0.3%Broadview Networks Holdings, Inc. (a) 192,400 394,419Level 3 Communications, Inc. (a) 115,920 5,211,763

5,606,182Electrical Equipment — 0.0%Medis Technologies Ltd. (a) 365,353 4Energy Equipment & Services — 0.7%Laricina Energy Ltd. (a)(b) 211,764 6,787,433Osum Oil Sands Corp. (a)(b) 400,000 4,863,423

11,650,856Health Care Providers & Services — 0.0%HealthSouth Corp. 1,468 57,825Insurance — 1.1%American International Group, Inc. 316,865 17,763,452Media — 0.0%Clear Channel Outdoor Holdings, Inc., Class A 47,653 330,712Metals & Mining — 0.1%African Minerals Ltd. (a) 225,302 115,218Peninsula Energy Ltd. (a) 39,828,291 892,743

1,007,961Oil, Gas & Consumable Fuels — 1.2%African Petroleum Corp. Ltd. (a) 331,833 52,686General Maritime Corp. 953,381 17,637,548Seven Generations Energy Ltd. (a)(b) 108,000 2,483,215

20,173,449Paper & Forest Products — 0.5%Ainsworth Lumber Co. Ltd. (a) 2,147,503 5,354,383Ainsworth Lumber Co. Ltd. (a)(c) 614,940 1,532,684Western Forest Products, Inc. 621,145 1,392,959

8,280,026Semiconductors & Semiconductor Equipment — 0.0%SunPower Corp. (a) 1,025 39,176Software — 0.7%Amaya Gaming Group, Inc. 312,745 8,273,088HMH Holdings/EduMedia (a) 206,188 3,958,809

12,231,897

Common Stocks Shares Value

Trading Companies & Distributors — 0.2%HD Supply Holdings, Inc. (a) 115,400 $ 3,204,658Total Common Stocks — 12.6% 214,056,664


(000)

Adams Mill CLO Ltd., Series 2014-1A, Class D1,3.70%, 7/15/26 (c)(d) USD 500 475,900

ALM Loan Funding, Series 2013-7RA (c)(d):Class C, 3.68%, 4/24/24 2,840 2,714,705Class D, 5.23%, 4/24/24 2,360 2,192,785

ALM XIV Ltd., Series 2014-14A (c)(d):Class B, 3.18%, 7/28/26 1,069 1,052,914Class C, 3.68%, 7/28/26 750 711,900

ALM XIV, Ltd., Series 2014-14A, Class D,5.08%, 7/28/26 (c)(d) 250 226,850

Apidos CLO XVIII, Series 2014-18A, Class C,3.88%, 7/22/26 (c)(d) 550 534,160

Atlas Senior Loan Fund V, Ltd.,Series 2014-1A (c)(d):

Class C, 3.26%, 7/16/26 250 246,281Atlas Senior Loan Fund V, Ltd.,

Series 2014-1A (c)(d):Class D, 3.71%, 7/16/26 250 232,497

Avalon IV Capital, Ltd., Series 2012-1AR, Class CR,3.08%, 4/17/23 (c)(d) 850 850,425

Benefit Street Partners CLO, Ltd., Series 2014-IVA,Class C, 3.68%, 7/20/26 (c)(d) 500 467,857

Carlyle Global Market Strategies CLO 2012-2, Ltd.,Series 2012-2AR, Class ER,6.33%, 7/20/23 (c)(d) 580 575,531

Cedar Funding, Ltd., Series 2014-3A (c)(d):Class C, 3.03%, 5/20/26 800 784,000Class D, 3.78%, 5/20/26 535 511,246

CIFC Funding 2014-II, Ltd., Series 2014-2A,Class A3L, 3.10%, 5/24/26 (c)(d) 500 487,923

CIFC Funding Ltd., Series 2014-3A (c)(d):Class C1, 2.95%, 7/22/26 500 484,898Class D, 3.55%, 7/22/26 250 233,817

Galaxy CLO Ltd., Series 2014-18A, Class C1,3.23%, 10/15/26 (c)(d) 500 490,000

Gramercy Park CLO, Ltd., Series 2012-1AR,Class DR, 5.73%, 7/17/23 (c)(d) 500 494,776

Jamestown CLO IV Ltd., Series 2014-4A, Class C,3.73%, 7/15/26 (c)(d) 250 235,334

LCM X LP, Series 10AR, Class ER,5.73%, 4/15/22 (c)(d) 1,000 981,918

Madison Park Funding, Ltd. (c)(d):3.83%, 7/20/26 500 476,927Series 2012-8AR, Class CR, 3.03%, 4/22/22 500 500,000Series 2012-8AR, Class DR, 4.08%, 4/22/22 250 250,000

Neuberger Berman CLO XVII, Ltd., Series 2014-17A,Class D, 3.78%, 8/04/25 (c)(d) 500 473,850

Octagon Investment Partners XII, Ltd.,Series 2012-1AR, Class ER,5.74%, 5/05/23 (c)(d) 1,200 1,191,359

Octagon Investment Partners XX, Ltd.,Series 2014-1A (c)(d):

Class D, 3.89%, 8/12/26 250 239,975Class E, 5.49%, 8/12/26 250 233,150

Palmer Square CLO, Ltd., Series 2014-1A (c)(d):Class B, 2.82%, 10/17/22 1,100 1,074,330Class C, 4.12%, 10/17/22 845 832,468Class D, 6.02%, 10/17/22 590 584,247

Steele Creek CLO 2014-1, Ltd., Series 2014-1A,Class B, 2.48%, 8/21/26 (c)(d) 500 493,600

TICP CLO II, Ltd., Series 2014-2A, Class A1A,1.68%, 7/20/26 (c)(d) 1,000 994,777

Consolidated Schedule of Investments August 31, 2014 BlackRock Corporate High Yield Fund, Inc. (HYT)(Percentages shown are based on Net Assets)




(000) Value

Venture CDO, Ltd., Series 2014-17A, Class C,3.13%, 7/15/26 (c)(d) USD 500 $ 486,603

Venture XIII CLO, Ltd., Series 2013-13A, Class D,3.78%, 6/10/25 (c)(d) 1,000 945,555

Washington Mill CLO, Ltd., Series 2014-1A (c)(d):Class C, 3.23%, 4/20/26 515 510,475Class D, 3.68%, 4/20/26 660 618,817

WhiteHorse IX, Ltd., Series 2014-9A, Class C,2.92%, 7/17/26 (c)(d) 250 239,291

WhiteHorse, Ltd., Series 2014-1A, Class C,2.99%, 5/01/26 (c)(d) 680 654,221


Corporate Bonds

Aerospace & Defense — 1.4%B/E Aerospace, Inc., 5.25%, 4/01/22 410 443,825CTP Transportation Products LLC/CTP Finance, Inc.,

8.25%, 12/15/19 (c) 1,095 1,179,863Huntington Ingalls Industries, Inc.:

6.88%, 3/15/18 1,015 1,072,0947.13%, 3/15/21 1,405 1,527,937

Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (c) 1,140 1,242,600TransDigm, Inc.:

5.50%, 10/15/20 2,490 2,490,0006.00%, 7/15/22 (c) 9,680 9,849,4006.50%, 7/15/24 (c) 6,048 6,199,200

24,004,919Air Freight & Logistics — 0.3%CEVA Group PLC, 9.00%, 9/01/21 (c) 844 852,440National Air Cargo Group, Inc.:

12.38%, 8/16/15 1,174 1,174,01612.38%, 9/02/15 1,155 1,155,408

XPO Logistics, Inc., 7.88%, 9/01/19 (c) 1,400 1,456,0004,637,864

Airlines — 2.8%American Airlines Pass-Through Trust,

Series 2013-2, Class C, 6.00%, 1/15/17 (c) 6,420 6,644,700Continental Airlines Pass-Through Trust:

Series 1997-4, Class B, 6.90%, 7/28/18 333 351,015Series 2012-3, Class C, 6.13%, 4/29/18 5,145 5,453,700

Delta Air Lines Pass-Through Trust, Class B:Series 2009-1, 9.75%, 6/07/18 864 977,172Series 2010-1, 6.38%, 7/02/17 (c) 2,647 2,805,820

US Airways Pass-Through Trust:Series 2011-1, Class C, 10.88%, 10/22/14 1,449 1,470,877Series 2012-1, Class C, 9.13%, 10/01/15 1,634 1,723,353Series 2012-2, Class C, 5.45%, 6/03/18 5,720 5,820,100Series 2013-1, Class B, 5.38%, 11/15/21 5,255 5,425,788

Virgin Australia Trust, Series 2013-1 (c):Class C, 7.13%, 10/23/18 8,395 8,772,804Class D, 8.50%, 10/23/16 8,036 8,376,502

47,821,831Auto Components — 2.5%Affinia Group, Inc., 7.75%, 5/01/21 3,109 3,202,270Autodis SA, 6.50%, 2/01/19 EUR 265 364,096Brighthouse Group PLC, 7.88%, 5/15/18 GBP 400 698,923CNH Industrial Finance Europe SA,

2.75%, 3/18/19 EUR 1,527 2,028,251Dana Holding Corp., 6.75%, 2/15/21 USD 200 213,500Delphi Corp., 6.13%, 5/15/21 420 464,100Icahn Enterprises LP/Icahn Enterprises

Finance Corp.:3.50%, 3/15/17 352 354,2004.88%, 3/15/19 8,850 9,093,3756.00%, 8/01/20 2,973 3,173,6785.88%, 2/01/22 2,797 2,915,873

Corporate BondsPar

(000) Value

Auto Components (concluded)IDQ Holdings, Inc., 11.50%, 4/01/17 (c) USD 2,155 $ 2,348,950Rhino Bondco SpA, 7.25%, 11/15/20 EUR 490 684,397Schaeffler Holding Finance BV:

2.75%, 5/15/19 2,035 2,680,979(6.88% Cash or 7.63% PIK), 6.88%,

8/15/18 (c)(e) USD 2,400 2,529,000(6.88% Cash), 6.88%, 8/15/18 (e) EUR 1,660 2,298,939

Servus Luxembourg Holding SCA, 7.75%, 6/15/18 706 989,775Titan International, Inc., 6.88%, 10/01/20 USD 2,505 2,517,525UCI International, Inc., 8.63%, 2/15/19 7,080 6,761,400

43,319,231Automobiles — 1.2%Chrysler Group LLC/CG Co-Issuer, Inc., Term Loan,

8.25%, 6/15/21 2,920 3,263,100Ford Motor Co., 4.25%, 11/15/16 (f) 160 323,800General Motors Co.:

4.88%, 10/02/23 940 1,005,8006.25%, 10/02/43 7,410 8,688,225

Jaguar Land Rover Automotive PLC:8.25%, 3/15/20 GBP 2,269 4,181,2385.00%, 2/15/22 1,555 2,600,896

20,063,059Banks — 1.2%Banco Bilbao Vizcaya Argentaria SA, 7.00% (d)(g) EUR 1,000 1,379,647Banco Espirito Santo SA:

4.75%, 1/15/18 1,900 2,504,9784.00%, 1/21/19 100 129,255

CIT Group, Inc.:5.25%, 3/15/18 USD 4,320 4,611,6006.63%, 4/01/18 (c) 1,400 1,561,0005.50%, 2/15/19 (c) 6,919 7,463,8716.00%, 4/01/36 2,800 2,814,000

HSH Nordbank AG, 1.00%, 2/14/17 (d) EUR 608 651,10521,115,456

Beverages — 0.1%Hydra Dutch Holdings 2BV, 5.70%, 4/15/19 (d) 1,355 1,753,696Biotechnology — 0.2%Laba Royalty Sub LLC, 9.00%, 5/15/29 (c) USD 2,630 2,656,300Building Products — 1.5%American Builders & Contractors Supply Co., Inc.,

5.63%, 4/15/21 (c) 1,715 1,745,013BMBG Bond Finance SCA, 5.20%, 10/15/20 (d) EUR 1,020 1,358,456Builders FirstSource, Inc., 7.63%, 6/01/21 (c) USD 2,058 2,150,610Building Materials Corp. of America,

6.75%, 5/01/21 (c) 2,490 2,670,525Cemex Finance LLC, 6.00%, 4/01/24 (c) 3,295 3,426,800Cemex SAB de CV, 5.88%, 3/25/19 (c) 1,335 1,398,413CPG Merger Sub LLC, 8.00%, 10/01/21 (c) 3,590 3,769,500Momentive Performance Materials, Inc.,

8.88%, 10/15/20 (a)(h) 1,068 1,001,250Ply Gem Industries, Inc., 6.50%, 2/01/22 (c) 3,550 3,514,500USG Corp., 9.75%, 1/15/18 3,935 4,633,462

25,668,529Capital Markets — 1.4%American Capital Ltd., 6.50%, 9/15/18 (c) 3,840 4,032,000Blackstone CQP Holdco LP, 9.30%, 3/18/19 16,121 16,443,093E*Trade Financial Corp. (f)(i):

0.00%, 8/31/19 (c) 1,206 2,604,206Series A, 0.00%, 8/31/19 373 805,447

23,884,746Chemicals — 1.4%Axalta Coating Systems US Holdings, Inc./Axalta

Coating Systems Dutch Holding BV:5.75%, 2/01/21 EUR 500 696,3937.38%, 5/01/21 (c) USD 1,760 1,918,400

Consolidated Schedule of Investments (continued) BlackRock Corporate High Yield Fund, Inc. (HYT)(Percentages shown are based on Net Assets)



Corporate BondsPar

(000) Value

Chemicals (concluded)Axiall Corp., 4.88%, 5/15/23 USD 629 $ 629,786Basell Finance Co. BV, 8.10%, 3/15/27 (c) 2,115 2,876,174Celanese US Holdings LLC:

5.88%, 6/15/21 1,848 2,028,1804.63%, 11/15/22 1,565 1,592,387

Huntsman International LLC:8.63%, 3/15/21 945 1,037,1385.13%, 4/15/21 EUR 1,779 2,453,224

INEOS Finance PLC, 8.38%, 2/15/19 (c) USD 100 108,500INEOS Group Holdings SA:

6.13%, 8/15/18 (c) 2,125 2,194,0626.50%, 8/15/18 EUR 378 517,2655.75%, 2/15/19 506 684,804

LSB Industries, Inc., 7.75%, 8/01/19 USD 1,313 1,434,453Montichem Holdco SA, 5.25%, 6/15/21 EUR 311 414,053Nexeo Solutions LLC/Nexeo Solutions Finance

Corp., 8.38%, 3/01/18 USD 510 512,550PetroLogistics LP/PetroLogistics Finance Corp.,

6.25%, 4/01/20 811 894,128PolyOne Corp.:

7.38%, 9/15/20 1,205 1,298,3885.25%, 3/15/23 1,506 1,554,945

Rockwood Specialties Group, Inc.,4.63%, 10/15/20 1,596 1,659,840

24,504,670Commercial Services & Supplies — 3.0%AA Bond Co., Ltd., 9.50%, 7/31/19 GBP 996 1,834,983ADS Waste Holdings, Inc., 8.25%, 10/01/20 USD 1,546 1,646,490ARAMARK Corp., 5.75%, 3/15/20 3,608 3,779,380Aviation Capital Group Corp., 6.75%, 4/06/21 (c) 3,002 3,391,597AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (c) 649 664,815Bilbao Luxembourg SA, (10.5% Cash or 11.25%

PIK), 10.50%, 12/01/18 (e) EUR 400 568,809Brand Energy & Infrastructure Services, Inc.,

8.50%, 12/01/21 (c) USD 3,057 3,179,280Covanta Holding Corp.:

6.38%, 10/01/22 2,970 3,185,3255.88%, 3/01/24 1,180 1,221,300

Jurassic Holdings III, Inc., 6.88%, 2/15/21 (c) 2,738 2,799,605Mobile Mini, Inc., 7.88%, 12/01/20 2,040 2,203,200Mustang Merger Corp., 8.50%, 8/15/21 (c) 2,688 2,829,120United Rentals North America, Inc.:

7.38%, 5/15/20 1,890 2,060,1008.25%, 2/01/21 2,168 2,384,8007.63%, 4/15/22 9,095 10,209,1376.13%, 6/15/23 1,055 1,126,2125.75%, 11/15/24 5,256 5,505,660

Verisure Holding AB:8.75%, 9/01/18 EUR 790 1,105,5338.75%, 12/01/18 673 943,536

50,638,882Communications Equipment — 2.1%Alcatel-Lucent USA, Inc.:

4.63%, 7/01/17 (c) USD 1,735 1,761,0256.75%, 11/15/20 (c) 3,755 3,970,9126.45%, 3/15/29 4,078 3,986,245

Avaya, Inc. (c):7.00%, 4/01/19 1,505 1,497,47510.50%, 3/01/21 1,355 1,243,213

CommScope, Inc. (c):5.00%, 6/15/21 1,475 1,497,1255.50%, 6/15/24 1,413 1,437,727

Nokia OYJ, 5.00%, 10/26/17 (f) EUR 800 2,798,398Zayo Group LLC/Zayo Capital, Inc.:

8.13%, 1/01/20 USD 5,725 6,175,84410.13%, 7/01/20 9,470 10,772,125

35,140,089

Corporate BondsPar

(000) Value

Construction & Engineering — 0.8%Aldesa Financial Services SA, 7.25%, 4/01/21 EUR 960 $ 1,290,051Astaldi SpA, 7.13%, 12/01/20 2,654 3,752,322BlueLine Rental Finance Corp., 7.00%, 2/01/19 (c) USD 1,032 1,091,340H&E Equipment Services, Inc., 7.00%, 9/01/22 2,462 2,689,735Novafives SAS:

4.21%, 6/30/20 (d) EUR 455 600,5374.50%, 6/30/21 320 426,561

Safway Group Holding LLC/Safway Finance Corp.,7.00%, 5/15/18 (c) USD 2,852 3,001,730

Weekley Homes LLC/Weekley Finance Corp.,6.00%, 2/01/23 862 853,380

13,705,656Construction Materials — 2.4%HD Supply, Inc.:

8.13%, 4/15/19 13,109 14,288,81011.00%, 4/15/20 9,123 10,559,8727.50%, 7/15/20 12,975 13,948,125

Kerneos Tech Group SAS:4.92%, 3/01/21 (d) EUR 194 257,9895.75%, 3/01/21 262 358,025

Officine MaccaFerri SpA, 5.75%, 6/01/21 780 1,040,76740,453,588

Consumer Finance — 0.3%Ford Motor Credit Co. LLC:

12.00%, 5/15/15 USD 1,120 1,207,9726.63%, 8/15/17 361 412,2998.13%, 1/15/20 500 634,775

IVS F. SpA, 7.13%, 4/01/20 EUR 1,260 1,771,600Springleaf Finance Corp.:

6.90%, 12/15/17 USD 315 344,1377.75%, 10/01/21 297 337,0958.25%, 10/01/23 539 623,892

5,331,770Containers & Packaging — 1.5%Ardagh Packaging Finance PLC/Ardagh Holdings

USA, Inc.:6.25%, 1/31/19 (c) 1,504 1,519,0406.00%, 6/30/21 (c) 1,825 1,806,7504.25%, 1/15/22 EUR 1,855 2,406,910

Ball Corp., 4.00%, 11/15/23 USD 1,129 1,081,017Beverage Packaging Holdings Luxembourg II SA (c):

5.63%, 12/15/16 2,113 2,149,9776.00%, 6/15/17 2,137 2,169,055

Crown Americas LLC/Crown Americas CapitalCorp. III, 6.25%, 2/01/21 93 99,278

Crown European Holdings SA, 4.00%, 7/15/22 EUR 1,325 1,802,789Graphic Packaging International, Inc.,

7.88%, 10/01/18 USD 2,080 2,168,400Metsa Board OYJ, 4.00%, 3/13/19 EUR 550 750,669OI European Group BV, 4.88%, 3/31/21 1,057 1,496,356Pactiv LLC:

7.95%, 12/15/25 USD 4,267 4,597,6928.38%, 4/15/27 553 595,858

SGD Group SAS, 5.63%, 5/15/19 EUR 405 540,206Tekni-Plex, Inc., 9.75%, 6/01/19 (c) USD 1,907 2,092,932

25,276,929Distributors — 0.4%VWR Funding, Inc., 7.25%, 9/15/17 6,554 6,914,470Diversified Consumer Services — 0.5%APX Group, Inc.:

6.38%, 12/01/19 580 588,7008.75%, 12/01/20 599 596,005

Garda World Security Corp., 7.25%, 11/15/21 (c) 702 718,673Laureate Education, Inc., 9.25%, 9/01/19 (c) 5,935 6,083,375

7,986,753




Corporate BondsPar

(000) Value

Diversified Financial Services — 4.7%Aircastle Ltd., 6.25%, 12/01/19 USD 1,795 $ 1,943,088Ally Financial, Inc.:

7.50%, 9/15/20 1,141 1,364,9218.00%, 11/01/31 20,980 27,136,117

CE Energy AS, 7.00%, 2/01/21 EUR 745 1,016,825Co-Operative Group Holdings, 6.88%, 7/08/20 (j) GBP 730 1,293,714DFC Finance Corp., 10.50%, 6/15/20 (c) USD 2,745 2,782,744Ford Motor Credit Co. LLC, 5.88%, 8/02/21 200 235,032Gala Group Finance PLC, 8.88%, 9/01/18 GBP 2,417 4,254,283Jarden Corp., 1.88%, 9/15/18 (f) USD 100 137,875Jefferies Finance LLC/JFIN Co-Issuer Corp. (c):

7.38%, 4/01/20 3,410 3,563,4506.88%, 4/15/22 2,987 2,994,467

JPMorgan Chase & Co., 6.75% (d)(g) 5,674 6,092,457Lehman Brother Holding Escrow, 1.00%, 9/22/18 430 86,000Lehman Brothers Holdings, Inc.:

5.38%, 10/17/14 EUR 350 94,2764.75%, 1/16/15 1,890 509,0901.00%, 2/05/15 3,950 1,012,0701.00%, 12/31/49 USD 1,535 307,000

Leucadia National Corp., 8.13%, 9/15/15 4,503 4,801,324Reynolds Group Issuer, Inc.:

7.13%, 4/15/19 2,140 2,222,9259.00%, 4/15/19 3,405 3,575,2507.88%, 8/15/19 728 788,0609.88%, 8/15/19 3,015 3,342,8815.75%, 10/15/20 9,982 10,431,1908.25%, 2/15/21 631 688,579

80,673,618Diversified Telecommunication Services — 3.7%CenturyLink, Inc.:

6.45%, 6/15/21 1,125 1,231,875Series V, 5.63%, 4/01/20 5,420 5,731,650

Cequel Communications Holdings I LLC/CequelCapital Corp., 5.13%, 12/15/21 (c) 2,350 2,329,437

Consolidated Communications Finance Co.,10.88%, 6/01/20 1,915 2,211,825

Frontier Communications Corp., 8.50%, 4/15/20 2,900 3,371,250Level 3 Communications, Inc., 8.88%, 6/01/19 1,780 1,922,400Level 3 Financing, Inc.:

8.13%, 7/01/19 7,665 8,297,3627.00%, 6/01/20 2,395 2,580,6128.63%, 7/15/20 8,235 9,120,262

Telecom Italia SpA:6.13%, 11/15/16 (f) EUR 1,600 2,500,7106.38%, 6/24/19 GBP 900 1,623,0474.88%, 9/25/20 EUR 870 1,254,3504.50%, 1/25/21 1,350 1,911,6065.88%, 5/19/23 GBP 1,900 3,317,855

Telefonica SA, Series TIT, 6.00%, 7/24/17 (f) EUR 900 1,208,926Telenet Finance V Luxembourg SCA:

6.25%, 8/15/22 1,362 1,941,7166.75%, 8/15/24 1,982 2,912,826

tw telecom holdings, Inc., 5.38%, 10/01/22 USD 4,630 5,035,125Windstream Corp.:

7.75%, 10/15/20 1,648 1,775,7207.75%, 10/01/21 1,720 1,874,8006.38%, 8/01/23 315 315,788

62,469,142Electric Utilities — 0.4%Homer City Generation LP (e):

8.14%, 10/01/19 850 909,5008.73%, 10/01/26 2,165 2,294,900

Miran Mid-Atlantic Pass Through Trust:Series B, 9.13%, 6/30/17 989 1,065,641Series C, 10.06%, 12/30/28 2,237 2,513,806

6,783,847

Corporate BondsPar

(000) Value

Electrical Equipment — 0.3%Belden, Inc., 5.50%, 4/15/23 EUR 600 $ 821,876International Wire Group Holdings, Inc.,

8.50%, 10/15/17 (c) USD 1,421 1,531,127Rexel SA, 5.25%, 6/15/20 (c) 205 209,100Techem Energy Metering Service GmbH & Co.,

7.88%, 10/01/20 EUR 210 306,282Trionista Holdco GmbH, 5.00%, 4/30/20 EUR 1,511 2,058,885Trionista TopCo GmbH, 6.88%, 4/30/21 418 587,677

5,514,947Electronic Equipment, Instruments & Components — 0.1%CDW LLC/CDW Finance Corp., 8.50%, 4/01/19 USD 102 109,650Jabil Circuit, Inc., 8.25%, 3/15/18 1,310 1,542,525

1,652,175Energy Equipment & Services — 1.8%Atwood Oceanics, Inc., 6.50%, 2/01/20 780 826,800Calfrac Holdings LP, 7.50%, 12/01/20 (c) 3,146 3,342,625CGG SA, 7.75%, 5/15/17 499 505,238Gates Global LLC / Gates Global Co.,

5.75%, 7/15/22 EUR 110 140,227Genesis Energy LP/Genesis Energy Finance Corp.,

5.75%, 2/15/21 USD 283 292,198MEG Energy Corp. (c):

6.50%, 3/15/21 3,601 3,799,0557.00%, 3/31/24 6,056 6,585,900

Peabody Energy Corp.:6.00%, 11/15/18 3,526 3,631,7806.25%, 11/15/21 2,174 2,165,8477.88%, 11/01/26 2,795 2,878,850

Pioneer Energy Services Corp., 6.13%, 3/15/22 (c) 528 537,240Precision Drilling Corp.:

6.63%, 11/15/20 425 450,5005.25%, 11/15/24 (c) 4,147 4,147,000

Rain CII Carbon LLC/CII Carbon Corp.,8.25%, 1/15/21 (c) 1,361 1,429,050

30,732,310Food & Staples Retailing — 0.8%Bakkavor Finance 2 PLC:

8.25%, 2/15/18 GBP 1,427 2,511,1778.75%, 6/15/20 795 1,432,004

Brakes Capital, 7.13%, 12/15/18 830 1,395,287Labeyrie Fine Foods SAS, 5.63%, 3/15/21 EUR 250 341,627Premier Foods Finance PLC, 6.50%, 3/15/21 GBP 159 258,685R&R Ice Cream PLC:

4.75%, 5/15/20 EUR 745 978,8935.50%, 5/15/20 GBP 200 327,0699.25%, 5/15/18 (e) EUR 823 1,103,959

Rite Aid Corp.:9.25%, 3/15/20 USD 2,080 2,329,6006.75%, 6/15/21 2,283 2,422,834

13,101,135Food Products — 0.7%Boparan Finance PLC:

5.25%, 7/15/19 GBP 405 643,9134.38%, 7/15/21 EUR 440 555,0475.50%, 7/15/21 GBP 625 984,523

Findus Bondco SA:9.13%, 7/01/18 EUR 830 1,183,2789.50%, 7/01/18 GBP 465 833,728

JBS Investments GmbH, 7.75%, 10/28/20 (c) USD 2,638 2,849,040Smithfield Foods, Inc.:

5.88%, 8/01/21 (c) 891 953,3706.63%, 8/15/22 2,626 2,888,600

Univeg Holding BV, 7.88%, 11/15/20 EUR 595 773,98211,665,481




Corporate BondsPar

(000) Value

Health Care Equipment & Supplies — 0.7%3AB Optique Developpement SAS,

5.63%, 4/15/19 EUR 900 $ 1,141,166Biomet, Inc., 6.50%, 10/01/20 USD 2,801 2,986,566DJO Finance LLC/DJO Finance Corp.,

8.75%, 3/15/18 2,106 2,237,625Fresenius Medical Care US Finance, Inc.,

5.75%, 2/15/21 (c) 1,580 1,714,300IDH Finance PLC:

6.00%, 12/01/18 GBP 614 1,060,1066.00%, 12/01/18 (c) 200 345,311

Teleflex, Inc., 6.88%, 6/01/19 USD 1,635 1,729,01211,214,086

Health Care Providers & Services — 5.8%Acadia Healthcare Co., Inc., 5.13%, 7/01/22 (c) 1,145 1,156,450Alere, Inc.:

7.25%, 7/01/18 802 846,1108.63%, 10/01/18 2,834 2,975,700

Amsurg Corp., 5.63%, 7/15/22 (c) 4,868 4,977,530Care UK Health & Social Care PLC,

5.56%, 7/15/19 GBP 1,253 2,028,164CHS/Community Health Systems, Inc.:

5.13%, 8/15/18 USD 4,465 4,643,6006.88%, 2/01/22 (c) 4,448 4,726,000

ConvaTec Healthcare E SA, 7.38%, 12/15/17 (c) EUR 1,907 2,632,451Crown Newco 3 PLC, 7.00%, 2/15/18 GBP 294 508,584DaVita HealthCare Partners, Inc., 5.13%, 7/15/24 USD 5,166 5,240,261HCA Holdings, Inc., 7.75%, 5/15/21 2,666 2,905,940HCA, Inc.:

3.75%, 3/15/19 2,911 2,932,8336.50%, 2/15/20 9,730 10,885,4375.88%, 3/15/22 3,565 3,876,9374.75%, 5/01/23 1,487 1,500,0115.88%, 5/01/23 4,096 4,362,2405.00%, 3/15/24 1,250 1,273,438

Hologic, Inc., 6.25%, 8/01/20 6,719 7,088,545Kindred Healthcare, Inc., 6.38%, 4/15/22 (c) 931 940,310MPH Acquisition Holdings LLC, 6.63%, 4/01/22 (c) 1,280 1,339,200Omnicare, Inc., 3.75%, 4/01/42 (f) 1,722 2,750,895Priory Group No. 3 PLC, 7.00%, 2/15/18 (c) GBP 2,017 3,489,162Symbion, Inc., 8.00%, 6/15/16 USD 1,915 1,993,994Tenet Healthcare Corp.:

6.25%, 11/01/18 1,308 1,425,7205.00%, 3/01/19 (c) 4,753 4,812,4124.75%, 6/01/20 2,575 2,620,0636.00%, 10/01/20 3,835 4,160,9754.50%, 4/01/21 74 74,1854.38%, 10/01/21 4,005 3,974,9628.13%, 4/01/22 4,192 4,826,040

Voyage Care Bondco PLC, 6.50%, 8/01/18 GBP 786 1,344,02598,312,174

Health Care Technology — 0.0%IMS Health, Inc., 6.00%, 11/01/20 (c) USD 795 835,744Hotels, Restaurants & Leisure — 4.2%Caesars Entertainment Operating Co., Inc.,

9.00%, 2/15/20 27,170 21,754,656Carlson Travel Holdings, Inc., (7.50% Cash or

8.25% PIK), 7.50%, 8/15/19 (c)(e) 654 671,985CDW LLC/CDW Finance Corp., 6.00%, 8/15/22 1,325 1,396,219Cedar Funding Ltd., 5.38%, 6/01/24 (c) 1,070 1,075,350Cirsa Funding Luxembourg SA, 8.75%, 5/15/18 EUR 3,382 4,599,311Enterprise Funding Ltd., Series ETI,

3.50%, 9/10/20 (f) GBP 400 675,681Enterprise Inns PLC, 6.50%, 12/06/18 1,598 2,833,054Gamenet SpA, 7.25%, 8/01/18 EUR 1,255 1,698,642Gategroup Finance Luxembourg SA,

6.75%, 3/01/19 2,164 3,002,902

Corporate BondsPar

(000) Value

Hotels, Restaurants & Leisure (concluded)GLP Capital LP/GLP Financing II, Inc.,

4.38%, 11/01/18 USD 894 $ 927,525Greektown Holdings LLC/Greektown Mothership

Corp., 8.88%, 3/15/19 (c) 1,220 1,250,500Intralot Capital Luxembourg SA, 6.00%, 5/15/21 EUR 713 939,188Intralot Finance Luxembourg SA, 9.75%, 8/15/18 2,140 3,184,423MCE Finance Ltd., 5.00%, 2/15/21 (c) USD 3,339 3,322,305Regal Entertainment Group, 5.75%, 2/01/25 489 490,223Six Flags Entertainment Corp., 5.25%, 1/15/21 (c) 3,247 3,287,587Snai SpA, 7.63%, 6/15/18 EUR 1,025 1,451,176Station Casinos LLC, 7.50%, 3/01/21 USD 5,095 5,502,600Travelport LLC/Travelport Holdings, Inc. (c):

6.36%, 3/01/16 (d) 473 473,10811.88%, 9/01/16 188 188,122(11.38% Cash or 2.50% PIK),

13.88%, 3/01/16 (e) 5,152 5,178,074Tropicana Entertainment LLC/Tropicana Finance

Corp., 9.63%, 12/15/14 (a)(h) 1,850 —The Unique Pub Finance Co. PLC, Series A3,

6.54%, 3/30/21 GBP 2,208 3,858,057Vougeot Bidco PLC, 7.88%, 7/15/20 920 1,596,130Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.,

5.38%, 3/15/22 USD 689 723,450Wynn Macau Ltd., 5.25%, 10/15/21 (c) 2,425 2,467,438

72,547,706Household Durables — 2.7%Ashton Woods USA LLC/Ashton Woods Finance Co.,

6.88%, 2/15/21 (c) 1,262 1,246,225Beazer Homes USA, Inc.:

6.63%, 4/15/18 215 227,3625.75%, 6/15/19 3,638 3,610,7157.50%, 9/15/21 2,710 2,845,500

Brookfield Residential Properties, Inc.,6.50%, 12/15/20 (c) 2,275 2,414,344

Brookfield Residential Properties, Inc./BrookfieldResidential US Corp., 6.13%, 7/01/22 (c) 1,604 1,662,145

K. Hovnanian Enterprises, Inc.,7.25%, 10/15/20 (c) 4,360 4,687,000

PulteGroup, Inc., 6.38%, 5/15/33 1,050 1,050,000The Ryland Group, Inc., 6.63%, 5/01/20 1,900 2,033,000Spie BondCo 3 SCA, 11.00%, 8/15/19 EUR 878 1,286,387Standard Pacific Corp.:

10.75%, 9/15/16 USD 6,920 8,061,8008.38%, 1/15/21 4,270 5,017,250

Taylor Morrison Communities, Inc./MonarchCommunities, Inc. (c):

7.75%, 4/15/20 1,650 1,786,1255.25%, 4/15/21 1,484 1,498,840

Weyerhaeuser Real Estate Co. (c):4.38%, 6/15/19 2,270 2,270,0005.88%, 6/15/24 1,540 1,570,800

William Lyon Homes, Inc., 8.50%, 11/15/20 4,579 5,059,79546,327,288

Household Products — 0.4%Ontex IV SA, 9.00%, 4/15/19 EUR 1,163 1,640,028Spectrum Brands, Inc.:

6.75%, 3/15/20 USD 535 569,7756.38%, 11/15/20 2,125 2,284,3756.63%, 11/15/22 1,385 1,499,263

5,993,441Independent Power and Renewable Electricity Producers — 1.8%Baytex Energy Corp. (c):

5.13%, 6/01/21 944 945,1805.63%, 6/01/24 335 335,000




Corporate BondsPar

(000) Value

Independent Power and Renewable Electricity Producers (concluded)Calpine Corp.:

6.00%, 1/15/22 (c) USD 676 $ 728,3905.38%, 1/15/23 5,099 5,149,9905.88%, 1/15/24 (c) 1,999 2,138,9305.75%, 1/15/25 5,394 5,447,940

NRG Energy, Inc.:7.63%, 1/15/18 7,493 8,437,1186.25%, 5/01/24 (c) 3,606 3,723,195

NRG REMA LLC:Series B, 9.24%, 7/02/17 117 125,097Series C, 9.68%, 7/02/26 1,400 1,526,000

QEP Resources, Inc., 5.38%, 10/01/22 1,843 1,886,77130,443,611

Insurance — 1.2%A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC,

7.88%, 12/15/20 (c) 6,232 6,637,080CNO Financial Group, Inc., 6.38%, 10/01/20 (c) 1,244 1,331,080Galaxy Bidco Ltd., 6.38%, 11/15/20 GBP 600 994,845Hockey Merger Sub 2, Inc., 7.88%, 10/01/21 (c) USD 3,920 4,125,800MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (c) 3,650 3,896,375Pension Insurance Corp. PLC, 6.50%, 7/03/24 GBP 775 1,325,833TMF Group Holding BV, 9.88%, 12/01/19 EUR 1,140 1,621,780

19,932,793Internet Software & Services — 0.4%Bankrate, Inc., 6.13%, 8/15/18 (c) USD 1,128 1,161,840Cerved Group SpA:

6.38%, 1/15/20 EUR 601 842,9888.00%, 1/15/21 400 581,291

Interactive Data Corp., 5.88%, 4/15/19 (c) USD 4,101 4,085,6216,671,740

IT Services — 4.7%Ceridian Corp., 8.88%, 7/15/19 (c) 10,750 12,040,000Ceridian HCM Holding, Inc., 11.00%, 3/15/21 (c) 13,854 15,828,195Ceridian LLC/Comdata, Inc., 8.13%, 11/15/17 (c) 6,190 6,273,565Epicor Software Corp., 8.63%, 5/01/19 3,077 3,300,083First Data Corp.:

7.38%, 6/15/19 (c) 8,670 9,255,2258.88%, 8/15/20 (c) 2,745 2,992,0506.75%, 11/01/20 (c) 4,293 4,647,1728.25%, 1/15/21 (c) 1,394 1,519,46010.63%, 6/15/21 2,111 2,448,76011.75%, 8/15/21 5,966 7,054,795(8.75% Cash or 10.00% PIK),

8.75%, 1/15/22 (c)(e) 365 399,675SunGard Data Systems, Inc.:

7.38%, 11/15/18 3,100 3,239,5006.63%, 11/01/19 7,950 8,327,625

WEX, Inc., 4.75%, 2/01/23 (c) 2,728 2,618,88079,944,985

Machinery — 0.2%Galapagos Holding SA, 7.00%, 6/15/22 EUR 475 610,502Galapagos SA, 5.38%, 6/15/21 325 431,304Selecta Group BV, 6.50%, 6/15/20 1,060 1,442,105SPX Corp., 6.88%, 9/01/17 USD 980 1,080,450

3,564,361Media — 10.4%Adria Bidco BV, 7.88%, 11/15/20 EUR 600 842,965Altice Financing SA, 6.50%, 1/15/22 (c) USD 2,410 2,536,525Altice SA:

7.25%, 5/15/22 EUR 2,010 2,800,3737.75%, 5/15/22 (c) USD 2,645 2,810,312

AMC Networks, Inc.:7.75%, 7/15/21 1,250 1,379,6884.75%, 12/15/22 1,613 1,633,163

Cablevision Systems Corp., 5.88%, 9/15/22 3,070 3,116,050

Corporate BondsPar

(000) Value

Media (continued)CBS Outdoor Americas Capital LLC/CBS Outdoor

Americas Capital Corp. (c):5.25%, 2/15/22 USD 650 $ 664,6255.63%, 2/15/24 983 1,012,490

CCO Holdings LLC/CCO Holdings Capital Corp.:5.25%, 9/30/22 3,986 4,045,7905.13%, 2/15/23 4,230 4,208,850

Cengage Learning Acquisitions, Inc.,11.50%, 4/15/20 (a)(c)(h) 3,439 —

Clear Channel Communications, Inc.:9.00%, 12/15/19 3,789 3,921,6159.00%, 3/01/21 1,407 1,459,763

Clear Channel Worldwide Holdings, Inc.:7.63%, 3/15/20 4,069 4,353,8306.50%, 11/15/22 11,724 12,530,445

Clearwire Communications LLC/Clearwire Finance,Inc., 8.25%, 12/01/40 (c)(f) 4,706 5,341,310

Columbus International, Inc., 7.38%, 3/30/21 (c) 3,455 3,761,631DISH DBS Corp.:

4.25%, 4/01/18 3,209 3,285,2145.13%, 5/01/20 4,652 4,768,300

DreamWorks Animation SKG, Inc.,6.88%, 8/15/20 (c) 901 955,060

Gannett Co., Inc.:5.13%, 10/15/19 (c) 857 878,4255.13%, 7/15/20 506 517,3856.38%, 10/15/23 (c) 1,314 1,396,125

Gray Television, Inc., 7.50%, 10/01/20 1,743 1,838,865Harron Communications LP/Harron Finance Corp.,

9.13%, 4/01/20 (c) 4,510 5,062,475Inmarsat Finance PLC, 4.88%, 5/15/22 (c) 2,805 2,812,012Intelsat Jackson Holdings SA:

6.63%, 12/15/22 1,040 1,086,8005.50%, 8/01/23 5,015 4,996,194

Intelsat Luxembourg SA, 6.75%, 6/01/18 5,500 5,761,250Level 3 Escrow II, Inc., 5.38%, 8/15/22 (c) 4,875 4,899,375Live Nation Entertainment, Inc.,

7.00%, 9/01/20 (c) 987 1,063,493The McClatchy Co., 9.00%, 12/15/22 1,934 2,175,750Midcontinent Communications & Midcontinent

Finance Corp., 6.25%, 8/01/21 (c) 3,901 4,027,782NAI Entertainment Holdings/NAI Entertainment

Holdings Finance Corp., 5.00%, 8/01/18 (c) 2,039 2,095,072NBCUniversal Enterprise, Inc., 5.25% (c)(g) 400 417,000Nexstar Broadcasting, Inc., 6.88%, 11/15/20 1,023 1,084,380Nielsen Finance LLC/Nielsen Finance Co.,

5.00%, 4/15/22 (c) 1,545 1,560,450Numericable Group SA:

5.38%, 5/15/22 EUR 890 1,239,4636.00%, 5/15/22 (c) USD 7,205 7,421,1505.63%, 5/15/24 EUR 1,785 2,483,2406.25%, 5/15/24 (c) USD 1,285 1,325,156

Play Finance 2 SA, 5.25%, 2/01/19 EUR 1,070 1,465,678ProQuest LLC/ProQuest Notes Co.,

9.00%, 10/15/18 (c) USD 1,009 1,049,360Radio One, Inc., 9.25%, 2/15/20 (c) 2,686 2,793,440RCN Telecom Services LLC/RCN Capital Corp.,

8.50%, 8/15/20 (c) 1,450 1,547,875Sinclair Television Group, Inc., 5.63%, 8/01/24 (c) 1,789 1,784,528Sirius XM Holdings, Inc. (c):

4.25%, 5/15/20 2,309 2,262,8205.75%, 8/01/21 1,811 1,883,440

Sterling Entertainment Corp., 10.00%, 12/15/19 4,810 4,906,200Unitymedia Hessen GmbH & Co. KG/Unitymedia

NRW GmbH:7.50%, 3/15/19 EUR 4,494 6,276,3095.50%, 1/15/23 (c) USD 2,550 2,607,3755.63%, 4/15/23 EUR 208 295,911




Corporate BondsPar

(000) Value

Media (concluded)Unitymedia KabelBW GmbH:

9.63%, 12/01/19 EUR 100 $ 139,7949.50%, 3/15/21 2,061 3,053,327

Univision Communications, Inc. (c):8.50%, 5/15/21 USD 1,597 1,748,7155.13%, 5/15/23 3,720 3,896,700

UPCB Finance II Ltd., 6.38%, 7/01/20 (c) EUR 4,437 6,171,167Virgin Media Secured Finance PLC,

6.00%, 4/15/21 GBP 5,502 9,556,603VTR Finance BV, 6.88%, 1/15/24 (c) USD 1,727 1,852,208Wave Holdco LLC/Wave Holdco Corp.,

8.25%, 7/15/19 (c)(f) 2,710 2,784,525WaveDivision Escrow LLC/WaveDivision Escrow

Corp., 8.13%, 9/01/20 (c) 2,248 2,450,320178,096,136

Metals & Mining — 3.5%Arch Coal, Inc.:

7.00%, 6/15/19 1,614 1,149,9757.25%, 10/01/20 678 471,2107.25%, 6/15/21 500 331,250

Constellium NV:4.63%, 5/15/21 EUR 1,270 1,735,4655.75%, 5/15/24 (c) USD 3,385 3,520,400

Eco-Bat Finance PLC, 7.75%, 2/15/17 EUR 2,090 2,814,809First Quantum Minerals Ltd. (c):

6.75%, 2/15/20 USD 1,954 2,027,2757.25%, 5/15/22 583 615,065

Global Brass & Copper, Inc., 9.50%, 6/01/19 4,660 5,236,675Imperial Metals Corp., 7.00%, 3/15/19 (c) 230 216,775Kaiser Aluminum Corp., 8.25%, 6/01/20 1,240 1,384,150New Gold, Inc., 6.25%, 11/15/22 (c) 112 117,600Novelis, Inc., 8.75%, 12/15/20 12,130 13,418,813Ovako AB, 6.50%, 6/01/19 EUR 935 1,240,829Peabody Energy Corp., 6.50%, 9/15/20 USD 1,505 1,514,406Peninsula Energy Ltd., 11.00%, 12/14/14 2,800 2,800,000Perstorp Holding AB, 8.75%, 5/15/17 (c) 990 1,056,825Ryerson, Inc./Joseph T Ryerson & Son, Inc.,

9.00%, 10/15/17 1,740 1,853,100Steel Dynamics, Inc.:

6.38%, 8/15/22 1,345 1,439,1505.25%, 4/15/23 1,168 1,185,520

ThyssenKrupp AG, 3.13%, 10/25/19 EUR 2,040 2,803,732Vedanta Resources PLC, 8.25%, 6/07/21 (c) USD 1,565 1,760,625Wise Metals Group LLC/Wise Alloys Finance Corp.,

8.75%, 12/15/18 (c) 10,804 11,668,32060,361,969

Multiline Retail — 1.1%CST Brands, Inc., 5.00%, 5/01/23 2,083 2,083,000Debenhams PLC, 5.25%, 7/15/21 GBP 1,155 1,898,299Dufry Finance SCA:

5.50%, 10/15/20 (c) USD 1,927 2,004,1764.50%, 7/15/22 EUR 670 918,580

Hema Bondco I BV, 6.25%, 6/15/19 2,105 2,791,820The Neiman Marcus Group Ltd.,

8.00%, 10/15/21 (c) USD 7,817 8,432,58918,128,464

Oil, Gas & Consumable Fuels — 13.4%Access Midstream Partners LP/ACMP Finance Corp.:

5.88%, 4/15/21 1,325 1,407,8126.13%, 7/15/22 1,520 1,653,0004.88%, 5/15/23 3,612 3,801,6304.88%, 3/15/24 1,861 1,956,841

American Energy-Permian Basin LLC/AEPBFinance Corp. (c):

7.13%, 11/01/20 1,700 1,649,0007.38%, 11/01/21 1,455 1,418,625

Corporate BondsPar

(000) Value

Oil, Gas & Consumable Fuels (continued)Antero Resources Finance Corp., 5.38%, 11/01/21 USD 1,942 $ 2,000,260Athlon Holdings LP/Athlon Finance Corp.:

7.38%, 4/15/21 1,053 1,142,5056.00%, 5/01/22 (c) 2,032 2,092,960

Berry Petroleum Co., 6.38%, 9/15/22 1,755 1,829,587Bonanza Creek Energy, Inc.:

6.75%, 4/15/21 637 668,8505.75%, 2/01/23 3,616 3,652,160

BreitBurn Energy Partners LP/BreitBurn FinanceCorp., 7.88%, 4/15/22 1,420 1,505,200

Carrizo Oil & Gas, Inc., 7.50%, 9/15/20 1,321 1,413,470Chaparral Energy, Inc., 7.63%, 11/15/22 1,220 1,309,975Chesapeake Energy Corp.:

6.63%, 8/15/20 1,632 1,880,8806.88%, 11/15/20 1,641 1,903,5606.13%, 2/15/21 524 593,4305.75%, 3/15/23 1,863 2,079,574

Cimarex Energy Co., 4.38%, 6/01/24 1,349 1,404,646Concho Resources, Inc.:

7.00%, 1/15/21 465 505,6885.50%, 10/01/22 2,016 2,157,1205.50%, 4/01/23 2,253 2,405,077

CONSOL Energy, Inc., 5.88%, 4/15/22 (c) 11,028 11,524,260Crestwood Midstream Partners LP/Crestwood

Midstream Finance Corp., 6.13%, 3/01/22 1,207 1,249,245CrownRock LP/CrownRock Finance, Inc.,

7.13%, 4/15/21 (c) 3,710 3,830,575Denbury Resources, Inc.:

5.50%, 5/01/22 1,481 1,518,0254.63%, 7/15/23 1,745 1,683,925

Diamondback Energy, Inc., 7.63%, 10/01/21 (c) 2,449 2,681,655El Paso LLC:

7.80%, 8/01/31 2,547 3,158,2807.75%, 1/15/32 5,669 7,100,422

Energy Transfer Equity LP, 5.88%, 1/15/24 7,967 8,415,144Energy XXI Gulf Coast, Inc.:

9.25%, 12/15/17 2,600 2,756,0007.75%, 6/15/19 2,025 2,116,1256.88%, 3/15/24 (c) 1,141 1,160,968

EnQuest PLC, 7.00%, 4/15/22 (c) 1,206 1,212,030EP Energy LLC/Everest Acquisition Finance, Inc.,

6.88%, 5/01/19 518 546,490EV Energy Partners LP/EV Energy Finance Corp.,

8.00%, 4/15/19 820 848,700EXCO Resources, Inc., 7.50%, 9/15/18 1,290 1,277,100Gulfport Energy Corp., 7.75%, 11/01/20 (c) 1,041 1,119,075Halcon Resources Corp.:

9.75%, 7/15/20 2,146 2,312,3158.88%, 5/15/21 4,236 4,458,3909.25%, 2/15/22 1,257 1,349,704

Hilcorp Energy I LP/Hilcorp Finance Co. (c):7.63%, 4/15/21 1,472 1,586,0805.00%, 12/01/24 2,448 2,441,880

Ithaca Energy, Inc., 8.13%, 7/01/19 (c) 1,660 1,678,675Jones Energy Holdings LLC/Jones Energy Finance

Corp., 6.75%, 4/01/22 (c) 1,400 1,477,000Kinder Morgan, Inc. (c):

5.00%, 2/15/21 1,130 1,209,1005.63%, 11/15/23 1,146 1,263,465

Kodiak Oil & Gas Corp., 5.50%, 2/01/22 892 941,060Laredo Petroleum, Inc., 7.38%, 5/01/22 3,065 3,356,175Legacy Reserves LP/Legacy Reserves Finance Corp.:

6.63%, 12/01/21 843 853,5386.63%, 12/01/21 (c) 1,390 1,407,375

Lightstream Resources Ltd., 8.63%, 2/01/20 (c) 1,441 1,491,435




Corporate BondsPar

(000) Value

Oil, Gas & Consumable Fuels (continued)Linn Energy LLC/Linn Energy Finance Corp.:

6.50%, 5/15/19 USD 243 $ 250,1386.25%, 11/01/19 1,904 1,965,8808.63%, 4/15/20 4,564 4,872,0707.75%, 2/01/21 365 388,725

MarkWest Energy Partners LP/MarkWest EnergyFinance Corp.:

6.25%, 6/15/22 674 724,5504.50%, 7/15/23 1,720 1,747,950

Memorial Production Partners LP/MemorialProduction Finance Corp., 7.63%, 5/01/21 1,091 1,131,913

Memorial Resource Development Corp.,5.88%, 7/01/22 (c) 3,644 3,698,660

Newfield Exploration Co., 6.88%, 2/01/20 4,325 4,541,250NGPL PipeCo LLC (c):

7.12%, 12/15/17 3,130 3,239,5509.63%, 6/01/19 891 973,418

Northern Oil and Gas, Inc., 8.00%, 6/01/20 835 876,750Oasis Petroleum, Inc., 6.50%, 11/01/21 1,625 1,734,687Offshore Group Investment Ltd., 7.50%, 11/01/19 2,521 2,577,722Pacific Drilling SA, 5.38%, 6/01/20 (c) 2,069 2,017,275Parsley Energy LLC/Parsley Finance Corp.,

7.50%, 2/15/22 (c) 4,536 4,808,160PDC Energy, Inc., 7.75%, 10/15/22 995 1,089,525Penn Virginia Corp., 8.50%, 5/01/20 2,035 2,238,500Petrobras Global Finance BV, 3.00%, 1/15/19 1,927 1,898,808Petroleum Geo-Services ASA, 7.38%, 12/15/18 (c) 3,816 4,025,880QEP Resources, Inc., 5.25%, 5/01/23 800 810,000Range Resources Corp.:

6.75%, 8/01/20 658 704,0605.75%, 6/01/21 568 606,3405.00%, 8/15/22 530 563,7885.00%, 3/15/23 1,193 1,267,562

Regency Energy Partners LP/Regency EnergyFinance Corp.:

5.75%, 9/01/20 628 675,1004.50%, 11/01/23 2,835 2,856,262

RKI Exploration & Production LLC/RKI FinanceCorp., 8.50%, 8/01/21 (c) 460 494,500

Rockies Express Pipeline LLC, 6.00%, 1/15/19 (c) 2,524 2,681,750Rose Rock Midstream LP/Rose Rock Finance Corp.,

5.63%, 7/15/22 (c) 1,747 1,781,940Rosetta Resources, Inc.:

5.63%, 5/01/21 256 262,0805.88%, 6/01/24 1,007 1,024,623

Sabine Pass Liquefaction LLC:5.63%, 4/15/23 1,908 1,984,3205.63%, 4/15/23 (c) 3,087 3,210,4805.75%, 5/15/24 (c) 3,005 3,125,200

Sabine Pass LNG LP, 7.50%, 11/30/16 8,155 8,858,369Sanchez Energy Corp., 6.13%, 1/15/23 (c) 2,942 3,044,970SandRidge Energy, Inc.:

8.75%, 1/15/20 141 148,0507.50%, 3/15/21 350 367,5007.50%, 2/15/23 1,378 1,433,120

Seven Generations Energy Ltd.,8.25%, 5/15/20 (c) 5,098 5,607,800

Seventy Seven Energy, Inc., 6.50%, 7/15/22 (c) 1,133 1,166,990Seventy Seven Operating LLC, 6.63%, 11/15/19 2,269 2,427,830SM Energy Co.:

6.63%, 2/15/19 1,174 1,226,8306.50%, 1/01/23 951 1,031,835

Summit Midstream Holdings LLC/SummitMidstream Finance Corp.:

7.50%, 7/01/21 1,566 1,722,6005.50%, 8/15/22 1,711 1,745,220

Corporate BondsPar

(000) Value

Oil, Gas & Consumable Fuels (concluded)Targa Resources Partners LP/Targa Resources

Partners Finance Corp., 6.38%, 8/01/22 USD 3,852 $ 4,179,420Tesoro Logistics LP/Tesoro Logistics Finance Corp.,

5.88%, 10/01/20 673 704,968Triangle USA Petroleum Corp., 6.75%, 7/15/22 (c) 1,057 1,080,783Ultra Petroleum Corp., 5.75%, 12/15/18 (c) 2,596 2,680,370Vanguard Natural Resources LLC/VNR Finance

Corp., 7.88%, 4/01/20 1,500 1,593,750Whiting Petroleum Corp.:

5.00%, 3/15/19 1,770 1,867,3505.75%, 3/15/21 1,837 2,016,107

The Williams Cos., Inc., 4.55%, 6/24/24 940 946,616229,155,955

Paper & Forest Products — 0.2%Clearwater Paper Corp., 4.50%, 2/01/23 245 237,650Mercer International, Inc., 9.50%, 12/01/17 1,175 1,246,969NewPage Corp., 11.38%, 12/31/14 (a)(h) 10,925 1Pfleiderer GmbH, 7.88%, 8/01/19 EUR 530 691,170Unifrax I LLC/Unifrax Holding Co.,

7.50%, 2/15/19 (c) USD 1,335 1,375,0503,550,840

Pharmaceuticals — 2.1%Endo Finance LLC/Endo Finco, Inc. (c):

7.25%, 1/15/22 696 754,2905.38%, 1/15/23 1,070 1,067,325

Grifols Worldwide Operations Ltd., 5.25%, 4/01/22 (c) 4,047 4,158,292Jaguar Holding Co. I, (9.38% Cash or 10.13% PIK),

9.38%, 10/15/17 (c)(e) 1,320 1,357,950Jaguar Holding Co. II/Jaguar Merger Sub, Inc.,

9.50%, 12/01/19 (c) 3,596 3,910,650Mallinckrodt International Finance SA,

5.75%, 8/01/22 (c) 4,760 4,861,150Pinnacle Merger Sub, Inc., 9.50%, 10/01/23 (c) 755 828,613Salix Pharmaceuticals Ltd., 6.00%, 1/15/21 (c) 1,162 1,260,770Valeant Pharmaceuticals International, Inc. (c):

6.75%, 8/15/18 9,461 10,123,2706.38%, 10/15/20 2,970 3,107,3637.50%, 7/15/21 1,375 1,498,7506.75%, 8/15/21 2,241 2,355,851

35,284,274Professional Services — 0.2%Truven Health Analytics, Inc., 10.63%, 6/01/20 2,840 3,053,000Real Estate Investment Trusts (REITs) — 0.6%Felcor Lodging LP:

6.75%, 6/01/19 5,386 5,682,2305.63%, 3/01/23 1,422 1,439,775

Host Hotels & Resorts LP, 2.50%, 10/15/29 (c)(e) 815 1,425,741iStar Financial, Inc.:

4.00%, 11/01/17 685 681,5755.00%, 7/01/19 480 480,000

Rayonier AM Products, Inc., 5.50%, 6/01/24 (c) 414 405,72010,115,041

Real Estate Management & Development — 1.5%Crescent Resources LLC/Crescent Ventures, Inc.,

10.25%, 8/15/17 (c) 4,515 4,966,500The Howard Hughes Corp., 6.88%, 10/01/21 (c) 1,369 1,449,429Realogy Corp. (c):

7.63%, 1/15/20 842 917,7809.00%, 1/15/20 1,269 1,418,108

Realogy Group LLC/Realogy Co-Issuer Corp.,4.50%, 4/15/19 (c) 5,542 5,542,000

Rialto Holdings LLC/Rialto Corp.,7.00%, 12/01/18 (c) 1,065 1,107,600

RPG Byty Sro, 6.75%, 5/01/20 EUR 1,146 1,550,960




Corporate BondsPar

(000) Value

Real Estate Management & Development (concluded)Shea Homes LP/Shea Homes Funding Corp.,

8.63%, 5/15/19 USD 6,320 $ 6,825,600Woodside Homes Co. LLC/Woodside Homes

Finance, Inc., 6.75%, 12/15/21 (c) 2,305 2,322,28726,100,264

Road & Rail — 1.0%EC Finance PLC, 5.13%, 7/15/21 EUR 675 902,109Florida East Coast Holdings Corp. (c):

6.75%, 5/01/19 USD 3,372 3,557,4609.75%, 5/01/20 1,520 1,607,400

The Hertz Corp.:7.50%, 10/15/18 3,220 3,360,8756.75%, 4/15/19 1,615 1,693,7315.88%, 10/15/20 370 380,6387.38%, 1/15/21 2,360 2,525,2006.25%, 10/15/22 1,475 1,537,687

Watco Cos. LLC/Watco Finance Corp.,6.38%, 4/01/23 (c) 1,093 1,117,593

16,682,693Semiconductors & Semiconductor Equipment — 0.5%Micron Technology, Inc., 5.50%, 2/01/25 (c) 4,645 4,703,063NXP BV/NXP Funding LLC (c):

3.75%, 6/01/18 2,235 2,246,1755.75%, 2/15/21 2,065 2,168,250

9,117,488Software — 1.7%Audatex North America, Inc., 6.13%, 11/01/23 (c) 1,350 1,431,000BMC Software Finance, Inc., 8.13%, 7/15/21 (c) 2,672 2,698,720Igloo Holdings Corp., (8.25% Cash or 9.00% PIK),

8.25%, 12/15/17 (c)(e) 1,636 1,676,900Infor Software Parent LLC/Infor Software Parent, Inc.,

(7.13% Cash or 7.88% PIK), 7.13%, 5/01/21 (c)(e) 4,891 4,976,592Infor US, Inc., 9.38%, 4/01/19 9,815 10,796,500Nuance Communications, Inc., 5.38%, 8/15/20 (c) 5,035 5,060,175Sophia LP/Sophia Finance, Inc., 9.75%, 1/15/19 (c) 2,437 2,650,238

29,290,125Specialty Retail — 1.9%Asbury Automotive Group, Inc., 8.38%, 11/15/20 2,030 2,222,850DriveTime Automotive Group, Inc./DT Acceptance

Corp., 8.00%, 6/01/21 (c) 2,028 2,043,210The Hillman Group, Inc., 6.38%, 7/15/22 (c) 1,438 1,434,405House of Fraser Funding PLC, 8.88%, 8/15/18 (c) GBP 1,532 2,709,279L Brands, Inc., 8.50%, 6/15/19 USD 3,925 4,729,625Magnolia BC SA, 9.00%, 8/01/20 EUR 1,077 1,425,822New Look Bondco I PLC, 8.75%, 5/14/18 GBP 438 770,775Party City Holdings, Inc., 8.88%, 8/01/20 USD 3,489 3,846,622PC Nextco Holdings LLC/PC Nextco Finance, Inc.,

(8.75% Cash or 9.50% PIK), 8.75%, 8/15/19(c)(e) 1,575 1,618,313

Penske Automotive Group, Inc., 5.75%, 10/01/22 1,775 1,837,125QVC, Inc. (c):

7.50%, 10/01/19 3,180 3,319,4757.38%, 10/15/20 1,640 1,753,012

Sally Holdings LLC/Sally Capital, Inc.,5.75%, 6/01/22 2,359 2,488,745

THOM Europe SAS, 7.38%, 7/15/19 EUR 1,190 1,528,419Twin Set-Simona Barbieri SpA, 6.08%, 7/15/19 (d) 649 820,861

32,548,538Textiles, Apparel & Luxury Goods — 0.5%Levi Strauss & Co., 6.88%, 5/01/22 USD 2,430 2,642,625Polymer Group, Inc., 6.88%, 6/01/19 (c) 900 910,125PVH Corp., 4.50%, 12/15/22 1,401 1,390,492Springs Industries, Inc., 6.25%, 6/01/21 2,777 2,790,885The William Carter Co., 5.25%, 8/15/21 1,398 1,460,910

9,195,037

Corporate BondsPar

(000) Value

Thrifts & Mortgage Finance — 0.1%Radian Group, Inc.:

3.00%, 11/15/17 (f) USD 330 $ 466,1252.25%, 3/01/19 (f) 712 1,042,1905.50%, 6/01/19 926 944,520

2,452,835Trading Companies & Distributors — 0.3%Ashtead Capital, Inc., 6.50%, 7/15/22 (c) 4,976 5,411,400Transportation Infrastructure — 0.4%Aguila 3 SA:

7.88%, 1/31/18 (c) 3,894 4,049,7607.88%, 1/31/18 150 156,000

JCH Parent, Inc., (10.50% Cash or 11.25% PIK),10.50%, 3/15/19 (c)(e) 2,553 2,540,235

6,745,995Wireless Telecommunication Services — 5.5%Crown Castle International Corp., 5.25%, 1/15/23 4,871 5,030,818Digicel Group Ltd., (c):

8.25%, 9/30/20 3,495 3,774,6007.13%, 4/01/22 6,215 6,448,062

Digicel Ltd., 6.00%, 4/15/21 (c) 7,619 7,847,570The Geo Group, Inc., 5.88%, 1/15/22 2,220 2,269,950Phones4u Finance PLC:

9.50%, 4/01/18 GBP 1,694 2,875,5729.50%, 4/01/18 (c) 2,015 3,420,470

SBA Communications Corp., 4.88%, 7/15/22 (c) USD 3,280 3,230,800Sprint Capital Corp., 8.75%, 3/15/32 1,330 1,482,950Sprint Communications, Inc. (c):

9.00%, 11/15/18 13,529 16,082,5997.00%, 3/01/20 6,812 7,595,380

Sprint Corp. (c):7.88%, 9/15/23 4,899 5,254,1787.13%, 6/15/24 4,577 4,668,540

T-Mobile USA, Inc.:6.63%, 4/28/21 5,880 6,188,7006.13%, 1/15/22 367 380,3046.73%, 4/28/22 6,145 6,482,9756.50%, 1/15/24 2,638 2,743,520

Wind Acquisition Finance SA:4.00%, 7/15/20 EUR 4,549 6,007,0444.20%, 7/15/20 (d) 2,115 2,789,425

94,573,457Total Corporate Bonds — 104.5% 1,783,122,533

Floating Rate Loan Interests (d)

Air Freight & Logistics — 0.2%CEVA Group PLC, Synthetic Line of Credit,

6.50%, 3/19/21 USD 1,149 1,108,486CEVA Intercompany BV, Dutch Term Loan,

6.50%, 3/19/21 1,208 1,179,874CEVA Logistics Canada ULC, Canadian Term Loan,

6.50%, 3/19/21 208 203,427CEVA Logistics U.S. Holdings, Inc., Term Loan,

6.50%, 3/19/21 1,667 1,627,4124,119,199

Airlines — 0.9%Delta Air Lines, Inc., 2018 Term Loan B1,

3.25%, 10/18/18 2,355 2,332,041Northwest Airlines, Inc.:

2.18%, 3/10/17 5,315 5,169,1621.56%, 9/10/18 7,307 6,965,484

14,466,687Auto Components — 0.6%Gates Global, Inc., Term Loan B, 4.25%, 7/05/21 11,030 10,943,304




Floating Rate Loan Interests (d)Par

(000) Value

Building Products — 0.1%Wilsonart LLC, Term Loan B, 4.00%, 10/31/19 USD 2,315 $ 2,283,896Capital Markets — 0.3%Affinion Group, Inc.:

2nd Lien Term Loan, 8.50%, 10/12/18 2,300 2,279,300Term Loan B, 6.75%, 4/30/18 200 197,505

American Capital Holdings, Inc., 2017 Term Loan,3.50%, 8/22/17 2,983 2,968,448

5,445,253Chemicals — 0.1%Axalta Coating Systems US Holdings, Inc., Term

Loan, 3.75%, 2/01/20 297 295,043OXEA Finance LLC, 2nd Lien Term Loan,

8.25%, 7/15/20 1,615 1,617,6971,912,740

Commercial Services & Supplies — 0.3%Brand Energy & Infrastructure Services, Inc., Term

Loan B, 4.75%, 11/26/20 1,446 1,444,230Catalent Pharma Solutions, Inc., Term Loan,

6.50%, 12/29/17 838 841,706Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19 2,633 2,610,823

4,896,759Communications Equipment — 1.0%Amaya Holdings BV:

1st Lien Term Loan, 5.00%, 8/01/21 2,465 2,440,9662nd Lien Term Loan, 8.00%, 8/01/22 6,800 6,880,784

Zayo Group LLC/Zayo Capital, Inc., Term Loan B,4.00%, 7/02/19 6,981 6,950,643

16,272,393Construction Materials — 0.3%HD Supply, Inc., Term Loan B, 4.00%, 6/28/18 4,827 4,800,237Containers & Packaging — 0.0%Tekni-Plex, Inc., Term Loan B, 4.75%, 8/25/19 383 381,157Diversified Telecommunication Services — 0.3%Hawaiian Telcom Communications, Inc., Term

Loan B, 5.00%, 6/06/19 2,962 2,974,665Level 3 Financing, Inc., 2019 Term Loan,

4.00%, 8/01/19 1,785 1,776,4504,751,115

Electric Utilities — 0.5%American Energy — Marcellus LLC, 1st Lien Term

Loan, 5.25%, 8/04/20 1,919 1,920,425American Energy — Utica LLC, 2nd Lien Term Loan,

5.50%, 9/30/18 5,775 6,178,983Sandy Creek Energy Associates LP, Term Loan B,

5.00%, 11/06/20 1,168 1,173,3899,272,797

Electrical Equipment — 0.3%Texas Competitive Electric Holdings Co. LLC, DIP

Term Loan, 3.75%, 5/05/16 5,613 5,645,863Energy Equipment & Services — 0.1%Dynegy Holdings, Inc., Term Loan B2,

4.00%, 4/23/20 995 993,090Food & Staples Retailing — 0.0%Rite Aid Corp., 2nd Lien Term Loan,

5.75%, 8/21/20 600 606,498Health Care Providers & Services — 0.3%CHS/Community Health Systems, Inc., Term Loan

D, 4.25%, 1/27/21 3,616 3,623,315Genesis HealthCare Corp., Term Loan B,

10.00%, 9/25/17 1,235 1,253,846Surgery Center Holdings, Inc., 1st Lien Term Loan,

5.25%, 7/09/20 (k) 966 964,9265,842,087


(000) Value

Hotels, Restaurants & Leisure — 4.0%Bally Technologies, Inc., Term Loan B,

4.25%, 11/25/20 USD 1,903 $ 1,899,242Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20 2,336 2,318,452Bronco Midstream Funding LLC, Term Loan B,

5.00%, 8/17/20 6,186 6,193,972Caesars Entertainment Operating Co., Inc.:

Extended Term Loan B6, 6.95%, 3/01/17 6,749 6,323,721Term Loan B7, 9.75%, 3/01/17 6,803 6,570,644

Caesars Entertainment Resort Properties LLC, TermLoan B, 7.00%, 10/12/20 8,397 8,240,913

Diamond Resorts Corporation, Term Loan,5.50%, 5/09/21 2,875 2,889,375

ESH Hospitality, Inc., Term Loan, 5.00%, 6/24/19 1,410 1,422,337Hilton Worldwide Finance LLC, Term Loan B2,

3.50%, 10/26/20 3,241 3,219,659La Quinta Intermediate Holdings LLC, Term Loan B,

4.00%, 4/14/21 5,545 5,536,120MGM Resorts International, Term Loan B,

3.50%, 12/20/19 1,774 1,761,914Pinnacle Entertainment, Inc., Term Loan B2,

3.75%, 8/13/20 2,438 2,425,399Playa Resorts Holding BV, Term Loan B,

4.00%, 8/06/19 3,578 3,560,073Station Casinos LLC, Term Loan B,

4.25%, 3/02/20 4,920 4,900,277Travelport Finance (Luxembourg) Sarl, 2014 Term

Loan B, 6.00%, 9/02/21 (k) 6,980 7,009,107Travelport LLC/Travelport Holdings, Inc.:

2nd Lien PIK Term Loan 2, 4.00%, 12/01/16 2,558 2,557,5512nd Lien Term Loan 1, 9.50%, 1/29/16 547 557,224Refinancing Term Loan, 6.25%, 6/26/19 1,267 1,285,702

68,671,682Independent Power and Renewable Electricity Producers — 0.2%Energy Future Intermediate Holding Co LLC, DIP

Term Loan, 4.25%, 6/19/16 2,730 2,732,730Industrial Conglomerates — 0.4%Sequa Corp., Term Loan B, 5.25%, 6/19/17 6,384 6,244,162Insurance — 0.1%Alliant Holdings I, Inc., Term Loan B,

4.25%, 12/20/19 1,654 1,643,914Internet Software & Services — 0.2%Interactive Data Corp., 2014 Term Loan,

4.75%, 5/02/21 3,650 3,659,125IT Services — 1.0%Ceridian LLC:

Term Loan B1, 4.16%, 5/09/17 806 804,636Term Loan B2, 4.50%, 9/14/20 841 839,662

First Data Corp.:2018 Extended Term Loan, 3.66%, 3/23/18 15,480 15,305,8502018 Term Loan, 3.66%, 9/24/18 200 198,188

17,148,336Machinery — 1.3%Gardner Denver, Inc.:

4.25%, 7/30/20 7,253 7,240,1694.75%, 7/30/20 EUR 7,421 9,779,347

Hillman Group Inc. (The), Term Loan B,4.50%, 6/30/21 USD 425 424,821

Rexnord LLC, 1st Lien Term Loan B,4.00%, 8/21/20 2,894 2,873,694

Silver II US Holdings LLC, Term Loan,4.00%, 12/13/19 1,139 1,133,442

21,451,473





(000) Value

Media — 1.0%Cengage Learning Acquisitions, Inc.:

0.00%, 7/03/15 (a)(h) USD 10,469 $ 17.00%, 3/31/20 5,120 5,150,711

Charter Communications Operating LLC, TermLoan G, 4.25%, 7/24/21 (k) 4,030 4,052,689

Clear Channel Communications, Inc.:Term Loan B, 3.81%, 1/29/16 747 741,681Term Loan D, 6.91%, 1/30/19 4,098 4,035,163

Getty Images, Inc., Term Loan B, 4.75%, 10/18/19 75 70,926Media General, Inc., Delayed Draw Term Loan B,

4.25%, 7/31/20 3,488 3,496,811Tribune Co., 2013 Term Loan, 4.00%, 12/27/20 225 224,935

17,772,917Metals & Mining — 0.3%FMG Resources (August 2006) Property Ltd., Term

Loan B, 3.75%, 6/30/19 4,520 4,500,893Multiline Retail — 0.3%BJ’s Wholesale Club, Inc., 2nd Lien Term Loan,

8.50%, 3/26/20 1,065 1,075,117J.C. Penney Corporation, Inc., New Term Loan,

5.00%, 6/20/19 950 949,288The Neiman Marcus Group, Inc., 2020 Term Loan,

4.25%, 10/25/20 2,595 2,573,9564,598,361

Oil, Gas & Consumable Fuels — 0.2%Arch Coal, Inc., Term Loan B, 6.25%, 5/16/18 1,711 1,663,612Obsidian Natural Gas Trust, Term Loan,

7.00%, 11/02/15 2,093 2,097,9393,761,551

Pharmaceuticals — 0.7%Grifols Worldwide Operations USA, Inc., Term Loan

B, 3.16%, 2/27/21 4,773 4,736,667Mallinckrodt International Finance SA, Term Loan B,

3.50%, 3/19/21 1,815 1,806,826Par Pharmaceutical Cos, Inc., Term Loan B2,

4.00%, 9/30/19 3,940 3,905,748Pharmaceutical Product Development LLC, Term

Loan B, 4.00%, 12/05/18 1,377 1,375,61911,824,860

Professional Services — 0.3%Advantage Sales & Marketing, Inc.:

1st Lien Term Loan, 4.25%, 7/23/21 1,645 1,628,0522nd Lien Term Loan, 7.50%, 7/25/22 2,495 2,495,524Delayed Draw Term Loan, 0.50%, 7/23/21 (k) 55 54,268

4,177,844Real Estate Management & Development — 0.0%Realogy Corp., Extended Letter of Credit,

4.40%, 10/10/16 230 228,456Semiconductors & Semiconductor Equipment — 0.3%Avago Technologies Cayman Ltd., Term Loan B,

3.75%, 5/06/21 5,075 5,066,931Software — 0.4%BMC Software Finance, Inc., Term Loan,

5.00%, 9/10/20 744 741,655GCA Services Group, Inc., 2nd Lien Term Loan,

9.25%, 10/22/20 260 260,434Infor US, Inc., Term Loan B5, 3.75%, 6/03/20 2,720 2,696,423Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20 3,445 3,530,750

7,229,262Textiles, Apparel & Luxury Goods — 0.4%Ascend Performance Materials LLC, Term Loan B,

6.75%, 4/10/18 6,134 6,041,805Total Floating Rate Loan Interests — 16.4% 279,387,377


(000) Value

Collateralized Mortgage Obligations — 0.2%Hilton USA Trust, Series 2013-HLT, Class EFX,

5.61%, 11/05/30 (c)(d) USD 3,829 $ 3,917,484

Other Interests (l)

BeneficialInterest(000)

Auto Components — 0.0%Lear Corp. Escrow 1,250 10,938Media — 0.0%Adelphia Escrow (a) 4,000 40Adelphia Recovery Trust (a) 5,017 2,508

2,548Total Other Interests — 0.0% 13,486


(000)

Capital Markets — 0.4%The Goldman Sachs Group, Inc., Series L,

5.70% (d)(g) 5,978 6,171,305Diversified Financial Services — 1.4%Bank of America Corp. (d)(g):

Series U, 5.20% 1,165 1,122,769Series V, 5.13% 5,620 5,562,002

Barclays PLC, 8.00% (d)(g) 985 1,397,927Citigroup, Inc., Series D, 5.35% (d)(g) 1,055 1,007,387JPMorgan Chase & Co. (d)(g):

Series Q, 5.15% 850 827,688Series U, 6.13% 4,228 4,323,130Series V, 5.00% 5,615 5,568,148

Morgan Stanley, Series H, 5.45% (d)(g) 4,815 4,899,26224,708,313

Total Capital Trusts — 1.8% 30,879,618


Capital Markets — 0.4%RBS Capital Funding Trust, Series F, 6.25% 93,975 2,277,954RBS Capital Funding Trust VII, 6.08% 152,071 3,656,159State Street Corp., Series D, 5.90% (d) 20,889 545,203

6,479,316Diversified Finance Services — 0.1%Ally Financial, Inc., Series A, 8.50% (d)(g) 41,694 1,136,995Media — 0.0%Emmis Communications Corp., Series A, 6.25% 10,300 151,925Oil, Gas & Consumable Fuels — 0.4%Chesapeake Energy Corp.:

5.75% (e)(g) 4,151 5,358,7335.75% (c) 1,182 1,431,698

6,790,431Real Estate Management & Development — 0.1%Concrete Investments II, 0.00% 4,997 1,011,134Software — 1.3%Amaya Gaming Group, Inc., 0.00% 19,851 22,866,140Total Preferred Stocks — 2.3% 38,435,941




Trust PreferredPar

(000) Value

Diversified Financial Services — 0.5%GMAC Capital Trust I, Series 2, 8.13% (d) 301,466 $ 8,074,489Total Preferred Securities — 4.6% 77,390,048

Warrants (m) Shares

Media — 0.0%New Vision Holdings LLC (Expires 9/30/14) 89,790 4,857Metals & Mining — 0.0%Peninsula Energy Ltd. (Expires 12/31/15) 31,614,557 275,843Software — 0.0%HMH Holdings/EduMedia (Issued/exercisable

3/09/10, 19 Shares for 1 Warrant, Expires6/22/19, Strike Price $42.27) 6,494 30,206

Total Warrants — 0.0% 310,906

Total Long-Term Investments(Cost — $2,319,988,972) — 139.8% 2,383,983,860

Short-Term SecuritiesPar

(000) Value

BlackRock Liquidity Funds, TempFund, InstitutionalClass, 0.03% (n)(o) 3,602,081 $ 3,602,081

Total Short-Term Securities(Cost — $3,602,081) — 0.2% 3,602,081

Options Purchased

(Cost —$38,133) — 0.0% —

Total Investments(Cost — $2,323,629,186) — 140.0% 2,387,585,941Liabilities in Excess of Other Assets — (40.0)% (682,163,841)Net Assets — 100.0% $1,705,422,100


(a) Non-income producing security.

(b) Security is held by a wholly owned subsidiary.

(c) Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration toqualified institutional investors.

(d) Variable rate security. Rate shown is as of report date.

(e) Convertible security.

(f) Represents a payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.

(g) Security is perpetual in nature and has no stated maturity date.

(h) Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.

(i) Zero-coupon bond.

(j) Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date.

(k) When-issued security. Unsettled when-issued transactions were as follows:

Counterparty Value


(Depreciation)

Deutsche Bank Securities, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $7,009,107 $116,357Goldman Sachs & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $4,052,689 $ 42,839Jefferies Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 964,926 $ 3,623Merrill Lynch, Pierce, Fenner & Smith, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 54,268 $ (433)

(l) Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

(m) Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject toadjustment under certain conditions until the expiration date, if any.

(n) Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2014, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

Affiliate

SharesHeld at

August 31, 2013 Net Activity

SharesHeld at


BlackRock Liquidity Funds, TempFund, Institutional Class . . . . . . . . . . . . . . . . . . . . . 1,737,587 1,864,494 3,602,081 $987

(o) Represents the current yield as of report date.


ContractsSold Issue Exchange Expiration

NotionalValue


(662) S&P 500 E-Mini Index Chicago Mercantile September 2014 USD 66,246,340 $(886,781)





Currency PurchasedCurrency

Sold CounterpartySettlement

Date


(Depreciation)

EUR 229,000 USD 304,213 Citibank N.A. 10/21/14 $ (3,230)EUR 600,000 USD 802,889 Goldman Sachs Bank USA 10/21/14 (14,286)EUR 1,050,000 USD 1,399,262 Goldman Sachs Bank USA 10/21/14 (19,206)EUR 90,000 USD 120,103 State Street Bank and Trust Co. 10/21/14 (1,812)EUR 1,981,000 USD 2,652,398 State Street Bank and Trust Co. 10/21/14 (48,694)EUR 800,000 USD 1,068,796 Toronto —Dominion Bank 10/21/14 (17,325)EUR 900,000 USD 1,205,825 UBS AG 10/21/14 (22,921)GBP 310,000 USD 516,918 Citibank N.A. 10/21/14 (2,471)GBP 830,000 USD 1,397,556 JPMorgan Chase Bank N.A. 10/21/14 (20,167)GBP 70,000 USD 117,893 Royal Bank of Scotland PLC 10/21/14 (1,728)GBP 260,000 USD 432,450 State Street Bank and Trust Co. 10/21/14 (979)GBP 300,000 USD 505,665 The Bank of New York Mellon 10/21/14 (7,813)USD 726,096 AUD 781,000 Deutsche Bank AG 10/21/14 (857)USD 2,378,698 CAD 2,610,000 Goldman Sachs Bank USA 10/21/14 (19,029)USD 24,413,429 CAD 26,710,000 Toronto —Dominion Bank 10/21/14 (124,229)USD 23,007,275 CAD 24,783,000 UBS AG 10/21/14 239,893USD 1,053,819 EUR 779,000 Bank of America N.A. 10/21/14 29,949USD 138,701 EUR 103,000 Bank of America N.A. 10/21/14 3,324USD 169,836,971 EUR 125,529,000 Citibank N.A. 10/21/14 4,849,397USD 18,888 EUR 14,000 Citibank N.A. 10/21/14 487USD 73,806,865 GBP 43,195,000 Bank of America N.A. 10/21/14 2,124,543

Total $6,942,846

• OTC options purchased as of August 31, 2014 were as follows:


StrikePrice

ExpirationDate Contracts

MarketValue

Marsico Parent Superholdco LLC Goldman Sachs & Co. Call USD 942.86 12/14/19 39 —


Issuer


ExpirationDate

CreditRating1


MarketValue

PremiumsPaid

(Received)Unrealized

Appreciation

CCO Holdings LLC 8.00% Deutsche Bank AG 9/20/17 B USD 8,180 $1,627,373 — $1,627,373Trionista Holdco GmbH 5.00% Citibank N.A. 3/20/19 B+ EUR 340 48,723 $ 33,417 15,306Trionista Holdco GmbH 5.00% Citibank N.A. 3/20/19 B+ EUR 363 52,056 36,233 15,823Trionista Holdco GmbH 5.00% Citibank N.A. 3/20/19 B+ EUR 363 52,056 43,155 8,901Trionista Holdco GmbH 5.00% Citibank N.A. 3/20/19 B+ EUR 363 52,056 43,819 8,237Level 3 Communications, Inc. 5.00% Goldman Sachs International 6/20/19 B+ USD 5,000 613,269 (368,840) 982,109

Total $2,445,533 $(212,216) $2,657,749

1 Using S&P’s rating of the issuer.2 The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement.







Consolidated Schedule of Investments (continued) BlackRock Corporate High Yield Fund, Inc. (HYT)






Assets:Investments:

Long-Term Investments:Common Stocks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $127,562,847 $ 29,597,540 $ 56,896,277 $ 214,056,664Asset-Backed Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 19,010,306 6,775,056 25,785,362Corporate Bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 1,753,987,515 29,135,018 1,783,122,533Floating Rate Loan Interests . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 241,158,034 38,229,343 279,387,377Non-Agency Mortgage-Backed Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 3,917,484 — 3,917,484Other Interests . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 2,508 10,978 13,486Preferred Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,201,458 55,177,456 1,011,134 77,390,048Warrants . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 187,367 118,682 4,857 310,906

Short-Term Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,602,081 — — 3,602,081

Total $152,553,753 $2,102,969,525 $132,062,663 $2,387,585,941



Assets:Credit contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — $ 2,657,749 — $ 2,657,749Foreign currency exchange contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 7,247,593 — 7,247,593

Liabilities:Equity contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ (886,781) — — (886,781)Foreign currency exchange contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — (304,747) — (304,747)

Total $ (886,781) $ 9,600,595 — $ 8,713,814

1 Derivative financial instruments are swaps, financial futures contracts, and forward foreign currency exchange contracts, which are valued at the unrealized appreciation/depreciation on the instrument.



Assets:Cash pledged as collateral for OTC derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,970,000 — — $ 1,970,000Cash pledged for financial futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,198,000 — — 3,198,000Foreign currency at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 529,079 — — 529,079

Liabilities:Bank borrowings payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — $ (723,000,000) — (723,000,000)Bank overdraft . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — (224,629) — (224,629)Cash received as collateral for OTC derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — (2,700,000) — (2,700,000)

Total $ 5,697,079 $ (725,924,629) — $ (720,227,550)




A reconciliation of Level 3 investments and derivative financial instruments is presented when the Trust had a significant amount of Level 3 investments and derivative financialinstruments at the beginning and/or end of the year in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputswere used in determining fair value:

CommonStocks


CorporateBonds

FloatingRate LoanInterests

OtherInterests

PreferredSecurities Warrants Total

Assets:Opening Balance, as of August 31, 2013 . . . . . $ 7,608,130 $ 2,824,497 $ 3,673,915 $ 13,072,578 $ 71 — $ 66,028 $ 27,245,219Transfers into Level 31 . . . . . . . . . . . . . . . . . . . — — — 1,453,195 — — — 1,453,195Transfers out of Level 32 . . . . . . . . . . . . . . . . . (343,980) (2,251,497) — (2,939,292) — — (24,750) (5,559,519)Accrued discounts/premiums . . . . . . . . . . . . . — 4,947 4,941 309,165 — — — 319,053Net realized gain (loss) . . . . . . . . . . . . . . . . . . 101,809 56,314 247,876 267,182 805 — — 673,986Net change in unrealized appreciation/

depreciation3,4 . . . . . . . . . . . . . . . . . . . . . . . (16,292,941) 1,838 (8,532,758) 994,223 10,637 $ (4,271) (59,239) (23,882,511)Purchases5 . . . . . . . . . . . . . . . . . . . . . . . . . . . 79,917,869 8,047,835 36,555,676 39,840,744 270 1,015,405 22,818 165,400,617Sales . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (14,094,610) (1,908,878) (2,814,632) (14,768,452) (805) — — (33,587,377)Closing Balance, as of August 31, 2014 $ 56,896,277 $ 6,775,056 $29,135,018 $ 38,229,343 $10,978 $1,011,134 $ 4,857 $132,062,663

Net change in unrealized appreciation/depreciation on investments still held atAugust 31, 20144 . . . . . . . . . . . . . . . . . . . . $(15,220,940) $ 1,838 $ (8,438,141) $ 1,071,903 $10,695 $ (4,271) $(59,239) $ (22,638,155)

1 As of August 31, 2013, the Trust used significant observable inputs in determining the value of certain investments. As of August 31, 2014, the Trust used unobservableinputs in determining the value of the same investments. As a result, investments with a beginning of period value of $1,453,195, transferred from Level 2 to Level 3 in thedisclosure hierarchy.

2 As of August 31, 2013, the Trust used significant unobservable inputs in determining the value of certain investments. As of August 31, 2014, the Trust used observableinputs in determining the value of the same investments. As a result, investments with a beginning of period value of $5,215,538 transferred from Level 3 to Level 2 and$343,980 transferred from Level 3 to Level 1 in the disclosure hierarchy.

3 Included in the related net change in unrealized appreciation/depreciation in the Consolidated Statement of Operations.4 Any difference between Net change in unrealized appreciation/depreciation and Net change in unrealized appreciation/depreciation on investments held as of August 31,

2014 is generally due to investments no longer held or categorized as Level 3 at period end.5 Includes investments acquired in the reorganization.

The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used in determining fair value:

CreditContracts

Assets:Opening Balance, as of August 31, 2013 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 607,499Transfers into Level 3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . —Transfers out of Level 36 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (490,360)Accrued discounts/premiums . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . —Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . —Net change in unrealized appreciation/depreciation7 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (117,139)Purchases . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . —Issues . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . —Sales . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . —Settlements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . —

Closing Balance, as of August 31, 2014 $ —

Net change in unrealized appreciation/depreciation on investments still held at August 31, 20144 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ —6 As of August 31, 2013, the Trust used significant unobservable inputs in determining the value of certain investments. As of August 31, 2014, the Trust used observable

inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $490,360 transferred from Level 3 to Level 2 in thedisclosure hierarchy.

7 Included in the related net change in unrealized appreciation/depreciation in the Consolidated Statement of Operations.




The following table summarizes the valuation techniques used and unobservable inputs developed by the Global Valuation Committee to determine the value of certain of theTrust’s Level 3 investments and derivative financial instruments as of August 31, 2014. The table does not include Level 3 investments and derivative financial instruments withvalues derived based upon unadjusted third party pricing information. A significant change in third party pricing information could result in a significantly lower or higher value ofsuch Level 3 investments and derivative financial instruments. The value of Level 3 investments and derivative financial instruments derived using third party pricing informationis $78,597,812.

Value Valuation Techniques Unobservable Inputs

Range ofUnobservableInputs Utilized

Assets:Common Stocks . . . . . . . . . . . . $12,626,410 Market Comparable Companies 2P (Proved and Probable) Reserves

+2C (Contingent) Resources Multiple3,4 CAD6 0.38x-0.60xPV-10 Multiple3 0.16x-0.28x

17,637,548 Market Comparable Companies Fleet Value Multiple 1.10x10,677,197 Market Comparable Companies Offshore Last 12 Months EBITDA Multiple3 6.19x

Offshore Current Fiscal Year EBITDA Multiple3 7.25xOnshore Last 12 Months EBITDA Multiple3 5.18xOnshore Current Fiscal Year EBITDA Multiple3 4.75xDiscounted Operations Expected Sales Proceeds $1507

2,483,215 Cost2 N/A —Corporate Bonds1 . . . . . . . . . . . 2,800,000 Cost2 N/A —

4,906,200 Discounted Cash Flow Internal Rate of Return5 10.00%2,329,424 Par Call Price3 —

Warrant . . . . . . . . . . . . . . . . . . 4,857 Estimated Recovery Value Distribution Rate5 $0.0541

Total $53,464,581

1 For the year ended August 31, 2014, the valuation technique for certain investments classified as corporate bonds changed to utilizing par value or an income approach.Market information previously utilized to determine fair value under the market approach no longer applied to these investments; therefore, the par value or incomeapproach is considered to be a more relevant measure of fair value for these investments.

2 The Trust fair values certain of its Level 3 investments using acquisition cost, although the transaction may not have occurred during the current reporting period. Theseinvestments are generally privately held investments. There may not be a secondary market, and/or there are a limited number of investors. The determination to fair valuesuch investments at cost is based upon factors consistent with the principles of fair value measurement that are reasonably available to the Global Valuation Committee, orits delegate. Valuations are reviewed utilizing available market information to determine if the carrying value should be adjusted. Such market data may include, but is notlimited to, observations of the trading multiples of public companies considered comparable to the private companies being valued, financial or operational informationreleased by the company, and/or news or corporate events that affect the investment. Valuations may be adjusted to account for company-specific issues, the lack ofliquidity inherent in a nonpublic investment and the fact that comparable public companies are not identical to the investments being fair valued by the Trust.

3 Increase in unobservable input may result in a significant increase to value, while a decrease in the unobservable input may result in a significant decrease to value.4 Present value of estimated future oil and gas revenues, net of estimated direct expenses discounted at an annual discount of 10%.5 Decrease in unobservable input may result in a significant increase to value, while an increase in the unobservable input may result in a significant decrease to value.6 Canadian Dollar.7 Amount is stated in millions.

Schedule of Investments (concluded) BlackRock Corporate High Yield Fund, Inc. (HYT)




(000) Value

Asset-Backed Securities — 6.3%AmeriCredit Automobile Receivables Trust,

Series 2011-5, Class C, 3.44%, 10/08/17 USD 400 $ 409,335Apidos CDO XI, Series 2012-11A, Class D,

4.48%, 1/17/23 (a)(b) 600 599,980Atrium CDO Corp., Series 9A, Class D,

3.74%, 2/28/24 (a)(b) 750 716,947Babson CLO Ltd., Series 2012-1X, Class B,

2.73%, 4/15/22 (b) 500 490,101Brookside Mill CLO, Ltd., Series 2013-1A, Class C1,

2.93%, 4/17/25 (a)(b) 500 487,352CarMax Auto Owner Trust, Series 2012-1:


CenterPoint Energy Transition Bond Co. LLC,Series 2012-1, Class A3, 3.03%, 10/15/25 1,105 1,119,618

CIFC Funding Ltd. (a)(b):Series 2012-1AR, Class B1R, 4.39%, 8/14/24 750 743,850Series 2013-IA, Class B, 3.04%, 4/16/25 500 489,155Series 2013-IA, Class C, 3.83%, 4/16/25 500 477,036

Ford Credit Floorplan Master Owner Trust,Series 2012-2:


Galaxy XV CLO Ltd., Series 2013-15A, Class C,2.83%, 4/15/25 (a)(b) 500 485,323

ING IM CLO Ltd., Series 2012-2A, Class C,3.68%, 10/15/22 (a)(b) 750 750,197

Nelnet Student Loan Trust (b):Series 2006-1, Class A5, 0.34%, 8/23/27 525 517,032Series 2008-3, Class A4, 1.88%, 11/25/24 620 650,402

OZLM Funding III, Ltd., Series 2013-3A (a)(b):Class B, 3.33%, 1/22/25 750 745,725Class C, 4.13%, 1/22/25 500 482,096

OZLM VIII, Ltd., Series 2014-8A, Class C,3.78%, 10/17/26 (a)(b)(c) 2,000 1,869,000

Santander Drive Auto Receivables Trust:Series 2010-2, Class C, 3.89%, 7/17/17 608 610,418Series 2010-B, Class C, 3.02%, 10/17/16 (a) 40 39,610Series 2011-1, Class D, 4.01%, 2/15/17 940 964,887Series 2012-1, Class B, 2.72%, 5/16/16 96 95,898Series 2012-1, Class C, 3.78%, 11/15/17 325 332,363

Silver Spring CLO, Ltd., Series 2014-1A, Class D,3.72%, 10/15/26 (a)(b)(c) 2,250 2,119,050

SLM Private Credit Student Loan Trust,Series 2004-B, Class A2, 0.43%, 6/15/21 (b) 111 110,270

SLM Private Education Loan Trust, Series 2012-A,Class A1, 1.56%, 8/15/25 (a)(b) 190 192,298

SLM Student Loan Trust:Series 2008-5, Class A3, 1.53%, 1/25/18 (b) 424 427,088Series 2008-5, Class A4, 1.93%, 7/25/23 (b) 630 657,795Series 2012-A, Class A2, 3.83%, 1/17/45 (a) 345 361,818Series 2014-A, Class B, 3.50%, 11/15/44 (a) 250 244,638

Small Business Administration ParticipationCertificates, Series 1996-20K, Class 1,6.95%, 11/01/16 71 73,665

Steele Creek CLO 2014-1, Ltd., Series 2014-1A,Class C, 3.43%, 8/21/26 (a)(b) 2,500 2,459,250

Symphony CLO VII, Ltd., Series 2011-7A, Class E,3.84%, 7/28/21 (a)(b) 750 723,920

Venture CDO Ltd., 3.39%, 10/15/26 (a)(b) 1,550 1,525,029Voya CLO Ltd., Series 2014-3A, Class C,

3.83%, 7/25/26 (a)(b) 1,750 1,663,200World Financial Network Credit Card Master Trust,

Series 2012-C, Class C, 4.55%, 8/15/22 1,180 1,231,45925,937,056


(000) Value

Interest Only Asset-Backed Securities — 0.2%Sterling Bank Trust, Series 2004-2, Class Note,

2.08%, 3/30/30 (a) USD 2,643 $ 191,596Sterling Coofs Trust, Series 2004-1, Class A,

2.36%, 4/15/29 (a) 4,974 341,985533,581


Corporate Bonds

Aerospace & Defense — 0.6%Huntington Ingalls Industries, Inc., 7.13%, 3/15/21 230 250,125United Technologies Corp. (d):

4.88%, 5/01/15 1,250 1,287,5646.13%, 7/15/38 750 976,843

2,514,532Airlines — 2.1%American Airlines Pass-Through Trust,

Series 2013-2:Class A, 4.95%, 1/15/23 2,224 2,396,348Class B, 5.60%, 7/15/20 488 506,206

Continental Airlines Pass-Through Trust:Series 2010-1, Class B, 6.00%, 1/12/19 421 448,376Series 2012-3, Class C, 6.13%, 4/29/18 500 530,000

United Airlines Pass-Through Trust:Series 2013-1, Class A, 4.30%, 8/15/25 2,000 2,050,000Series 2014-2, Class B, 4.63%, 9/03/22 1,375 1,375,000

US Airways Pass-Through Trust, Series 2012-1,Class C, 9.13%, 10/01/15 1,084 1,143,747

8,449,677Auto Components — 0.8%Icahn Enterprises LP/Icahn Enterprises

Finance Corp.:3.50%, 3/15/17 91 91,5694.88%, 3/15/19 1,330 1,366,5756.00%, 8/01/20 953 1,017,3275.88%, 2/01/22 667 695,348

3,170,819Automobiles — 1.0%Ford Motor Co., 4.75%, 1/15/43 2,005 2,098,599General Motors Co., 6.25%, 10/02/43 1,253 1,469,143Jaguar Land Rover Automotive PLC,

4.13%, 12/15/18 (a) 750 761,2504,328,992

Banks — 4.2%Barclays Bank PLC, 7.63%, 11/21/22 1,750 1,965,469CIT Group, Inc.:

5.50%, 2/15/19 (a) 398 429,3435.38%, 5/15/20 1,650 1,786,125

Depfa ACS Bank, 5.13%, 3/16/37 (a) 4,150 4,964,354HSBC Bank Brasil SA — Banco Multiplo,

4.00%, 5/11/16 (a)(d) 1,400 1,442,000HSBC Bank PLC, 3.10%, 5/24/16 (a)(d) 695 723,608HSBC Holdings PLC:

4.25%, 3/14/24 1,010 1,048,5066.10%, 1/14/42 (d) 305 396,442

Rabobank Nederland (d):3.88%, 2/08/22 1,390 1,487,1673.95%, 11/09/22 1,500 1,542,769

Wells Fargo & Co., 3.50%, 3/08/22 (d) 1,390 1,447,84617,233,629

Building Products — 0.1%Cemex SAB de CV, 5.88%, 3/25/19 (a) 200 209,500

Schedule of Investments August 31, 2014 BlackRock Income Opportunity Trust, Inc. (BNA)(Percentages shown are based on Net Assets)



Corporate BondsPar

(000) Value

Capital Markets — 3.7%CDP Financial, Inc., 5.60%, 11/25/39 (a)(d) USD 2,955 $ 3,808,389The Goldman Sachs Group, Inc. (d):

5.38%, 3/15/20 1,215 1,372,7135.25%, 7/27/21 3,175 3,578,0475.75%, 1/24/22 1,815 2,106,353

Lehman Brothers Holdings Inc.,6.50%, 7/19/17 (e)(f) 225 —

Morgan Stanley:4.20%, 11/20/14 (d) 680 685,4874.00%, 7/24/15 400 412,4686.25%, 8/28/17 (d) 1,925 2,179,256

Murray Street Investment Trust I, 4.65%, 3/09/17 (d)(g) 820 882,08215,024,795

Chemicals — 1.3%Axalta Coating Systems US Holdings, Inc./Axalta Coating

Systems Dutch Holding BV, 7.38%, 5/01/21 (a) 151 164,590Axiall Corp., 4.88%, 5/15/23 152 152,190The Dow Chemical Co., 4.13%, 11/15/21 350 374,869Huntsman International LLC, 4.88%, 11/15/20 297 302,940Methanex Corp., 3.25%, 12/15/19 2,074 2,127,341PetroLogistics LP/PetroLogistics Finance Corp.,

6.25%, 4/01/20 161 177,503Rockwood Specialties Group, Inc.,

4.63%, 10/15/20 1,800 1,872,0005,171,433

Commercial Services & Supplies — 1.3%ADS Waste Holdings, Inc., 8.25%, 10/01/20 245 260,925The ADT Corp., 4.88%, 7/15/42 539 458,150Aviation Capital Group Corp. (a):

4.63%, 1/31/18 650 680,9917.13%, 10/15/20 900 1,027,408

Brand Energy & Infrastructure Services, Inc.,8.50%, 12/01/21 (a) 214 222,560

Mobile Mini, Inc., 7.88%, 12/01/20 1,320 1,425,600United Rentals North America, Inc.:

5.75%, 7/15/18 194 204,1857.38%, 5/15/20 385 419,6507.63%, 4/15/22 455 510,737

5,210,206Communications Equipment — 1.2%ADC Telecommunications, Inc., 3.50%, 7/15/15 (h) 4,340 4,383,400Zayo Group LLC/Zayo Capital, Inc.,

8.13%, 1/01/20 530 571,7374,955,137

Construction & Engineering — 0.1%ABB Finance USA, Inc., 4.38%, 5/08/42 194 204,073BlueLine Rental Finance Corp., 7.00%, 2/01/19 (a) 96 101,520Safway Group Holding LLC/Safway Finance Corp.,

7.00%, 5/15/18 (a) 200 210,500516,093

Construction Materials — 1.1%Allegion US Holding Co., Inc., 5.75%, 10/01/21 448 469,280HD Supply, Inc.:

8.13%, 4/15/19 1,954 2,129,8607.50%, 7/15/20 1,544 1,659,800

Lafarge SA, 7.13%, 7/15/36 135 154,5754,413,515

Consumer Finance — 0.9%Discover Financial Services, 3.85%, 11/21/22 250 256,017Ford Motor Credit Co. LLC:

6.63%, 8/15/17 280 319,7898.13%, 1/15/20 1,265 1,605,9814.25%, 9/20/22 800 854,769

SLM Corp., 6.25%, 1/25/16 651 690,0603,726,616

Corporate BondsPar

(000) Value

Containers & Packaging — 0.3%Crown Americas LLC/Crown Americas Capital

Corp. III, 6.25%, 2/01/21 USD 91 $ 97,142Sealed Air Corp. (a):

6.50%, 12/01/20 550 605,0008.38%, 9/15/21 225 253,125

Smurfit Kappa Acquisitions, 4.88%, 9/15/18 (a) 410 425,3751,380,642

Diversified Consumer Services — 0.4%APX Group, Inc., 6.38%, 12/01/19 269 273,035Service Corp. International, 4.50%, 11/15/20 1,240 1,235,350

1,508,385Diversified Financial Services — 7.5%Aircastle Ltd., 6.25%, 12/01/19 705 763,162Ally Financial, Inc.:

5.50%, 2/15/17 1,500 1,601,2506.25%, 12/01/17 160 176,2008.00%, 3/15/20 560 680,4008.00%, 11/01/31 300 388,125

Bank of America Corp. (d):5.63%, 7/01/20 1,100 1,260,6073.30%, 1/11/23 5,010 4,968,347

Capital One Financial Corp., 4.75%, 7/15/21 975 1,082,347FMR LLC, 4.95%, 2/01/33 (a)(d) 1,150 1,278,895General Electric Capital Corp., 6.75%, 3/15/32 (d) 2,500 3,364,865General Motors Financial Co., Inc.,

4.25%, 5/15/23 406 414,627IntercontinentalExchange Group, Inc.,

4.00%, 10/15/23 235 250,047Intesa Sanpaolo SpA, 5.02%, 6/26/24 (a) 1,145 1,155,713Jefferies Finance LLC/JFIN Co-Issuer Corp.,

7.38%, 4/01/20 (a) 1,250 1,306,250JPMorgan Chase & Co., 6.30%, 4/23/19 (d) 1,375 1,613,968JPMorgan Chase Bank NA, 6.00%, 10/01/17 (d) 800 904,972Macquarie Bank Ltd., 10.25%, 6/20/57 (b) 900 1,026,000Moody’s Corp., 4.50%, 9/01/22 900 958,425Northern Trust Corp., 3.95%, 10/30/25 (d) 4,000 4,185,768Reynolds Group Issuer, Inc.:

7.13%, 4/15/19 200 207,7507.88%, 8/15/19 560 606,2005.75%, 10/15/20 1,000 1,045,0006.88%, 2/15/21 1,255 1,344,419

30,583,337Diversified Telecommunication Services — 2.7%CenturyLink, Inc., Series V, 5.63%, 4/01/20 400 423,000Level 3 Financing, Inc.:

8.13%, 7/01/19 671 726,3578.63%, 7/15/20 580 642,350

Verizon Communications, Inc. (d):3.50%, 11/01/21 500 518,9316.40%, 2/15/38 3,396 4,245,7066.55%, 9/15/43 3,375 4,346,935

Windstream Corp., 7.88%, 11/01/17 200 227,50011,130,779

Electric Utilities — 4.9%The Cleveland Electric Illuminating Co.:

8.88%, 11/15/18 121 152,4115.95%, 12/15/36 217 256,681

CMS Energy Corp., 5.05%, 3/15/22 917 1,040,558ComEd Financing III, 6.35%, 3/15/33 150 153,375Duke Energy Carolinas LLC:

6.10%, 6/01/37 325 412,1886.00%, 1/15/38 (d) 850 1,102,1754.25%, 12/15/41 (d) 375 388,681

Duke Energy Florida, Inc., 6.40%, 6/15/38 340 464,025E.ON International Finance BV, 6.65%, 4/30/38 (a)(d) 1,575 2,043,370Electricite de France SA, 5.60%, 1/27/40 (a)(d) 1,400 1,644,663

Schedule of Investments (continued) BlackRock Income Opportunity Trust, Inc. (BNA)(Percentages shown are based on Net Assets)



Corporate BondsPar

(000) Value

Electric Utilities (concluded)Florida Power Corp., 6.35%, 9/15/37 (d) USD 1,450 $ 1,970,923Georgia Power Co., 3.00%, 4/15/16 (d) 800 829,505Jersey Central Power & Light Co., 7.35%, 2/01/19 245 294,263Ohio Power Co., Series D, 6.60%, 3/01/33 1,500 1,975,527PacifiCorp, 6.25%, 10/15/37 (d) 650 865,495Public Service Co. of Colorado, Series 17,

6.25%, 9/01/37 (d) 1,350 1,820,475Southern California Edison Co. (d):

5.63%, 2/01/36 675 842,789Series A, 5.95%, 2/01/38 1,100 1,414,509

Virginia Electric and Power Co., Series A,6.00%, 5/15/37 (d) 1,920 2,472,868

20,144,481Energy Equipment & Services — 2.6%Calfrac Holdings LP, 7.50%, 12/01/20 (a) 470 499,375Ensco PLC:

3.25%, 3/15/16 160 165,6754.70%, 3/15/21 (d) 1,745 1,899,766

EOG Resources, Inc., 2.63%, 3/15/23 (d) 1,898 1,846,887Genesis Energy LP/Genesis Energy Finance Corp.,

5.75%, 2/15/21 71 73,307GrafTech International Ltd., 6.38%, 11/15/20 580 600,300MEG Energy Corp., 6.50%, 3/15/21 (a) 560 590,800Noble Holding International Ltd., 5.25%, 3/15/42 350 369,052Peabody Energy Corp.:

6.00%, 11/15/18 1,256 1,293,6806.25%, 11/15/21 (d) 1,244 1,239,335

Seadrill Ltd., 6.13%, 9/15/17 (a) 1,590 1,641,675Transocean, Inc., 6.50%, 11/15/20 350 395,876

10,615,728Food & Staples Retailing — 0.1%Rite Aid Corp., 6.75%, 6/15/21 279 296,089Food Products — 0.5%Barry Callebaut Services NV, 5.50%, 6/15/23 (a) 700 738,955Kraft Foods Group, Inc., 5.00%, 6/04/42 997 1,084,150Smithfield Foods, Inc., 5.88%, 8/01/21 (a) 169 180,830

2,003,935Health Care Equipment & Supplies — 0.4%Boston Scientific Corp., 6.25%, 11/15/15 1,260 1,339,739Teleflex, Inc., 6.88%, 6/01/19 385 407,138

1,746,877Health Care Providers & Services — 4.1%Aviv Healthcare Properties LP/Aviv Healthcare

Capital Corp., 7.75%, 2/15/19 535 565,762CHS/Community Health Systems, Inc.,

5.13%, 8/15/18 400 416,000ConvaTec Healthcare E SA, 7.38%, 12/15/17 (a) EUR 494 681,925HCA Holdings, Inc., 7.75%, 5/15/21 USD 143 155,870HCA, Inc.:

3.75%, 3/15/19 134 135,0056.50%, 2/15/20 2,124 2,376,2254.75%, 5/01/23 1,161 1,171,159

Symbion, Inc., 8.00%, 6/15/16 455 473,769Tenet Healthcare Corp.:

6.25%, 11/01/18 750 817,5006.00%, 10/01/20 622 674,8704.50%, 4/01/21 383 383,9584.38%, 10/01/21 1,765 1,751,7628.13%, 4/01/22 1,160 1,335,450

UnitedHealth Group, Inc., 2.88%, 3/15/22 (d) 2,000 2,007,922WellPoint, Inc., 4.65%, 1/15/43 (d) 3,995 4,117,547

17,064,724

Corporate BondsPar

(000) Value

Hotels, Restaurants & Leisure — 3.1%Caesars Entertainment Resort Properties

LLC/Caesars Entertainment Resort Property,8.00%, 10/01/20 (a) USD 2,120 $ 2,104,100

MCE Finance Ltd., 5.00%, 2/15/21 (a) 941 936,295Six Flags Entertainment Corp., 5.25%, 1/15/21 (a) 859 869,737The Unique Pub Finance Co. PLC:

Series A3, 6.54%, 3/30/21 GBP 1,748 3,054,295Series A4, 5.66%, 6/30/27 623 1,041,957Series M, 7.40%, 3/28/24 1,500 2,543,706Series N, 6.46%, 3/30/32 1,195 1,867,672

Wynn Macau Ltd., 5.25%, 10/15/21 (a) USD 416 423,28012,841,042

Household Durables — 0.2%Taylor Morrison Communities, Inc./Monarch

Communities, Inc., 5.25%, 4/15/21 (a) 374 377,740Weyerhaeuser Real Estate Co. (a):

4.38%, 6/15/19 215 215,0005.88%, 6/15/24 145 147,900

740,640Household Products — 0.1%Spectrum Brands, Inc.:

6.38%, 11/15/20 200 215,0006.63%, 11/15/22 275 297,687

512,687Independent Power and Renewable Electricity Producers — 0.2%Calpine Corp., 6.00%, 1/15/22 (a) 137 147,617NRG REMA LLC, Series C, 9.68%, 7/02/26 500 545,000

692,617Industrial Conglomerates — 0.0%Smiths Group PLC, 3.63%, 10/12/22 (a) 180 179,997Insurance — 3.1%A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC,

7.88%, 12/15/20 (a) 608 647,520American International Group, Inc.,

5.45%, 5/18/17 (d) 800 886,638AXA SA, 5.25%, 4/16/40 (b) EUR 250 371,716Five Corners Funding Trust, 4.42%, 11/15/23 (a) USD 1,025 1,093,923Hartford Financial Services Group, Inc.:

6.00%, 1/15/19 345 396,8775.13%, 4/15/22 930 1,062,591

Liberty Mutual Group, Inc., 6.50%, 5/01/42 (a) 1,000 1,241,191Lincoln National Corp., 6.25%, 2/15/20 630 742,463Manulife Financial Corp., 3.40%, 9/17/15 (d) 1,625 1,672,713Montpelier Re Holdings Ltd., 4.70%, 10/15/22 450 471,476MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a) 340 362,950Muenchener Rueckversicherungs AG,

6.00%, 5/26/41 (b) EUR 200 318,679Prudential Financial, Inc. (d):

4.75%, 9/17/15 USD 1,220 1,271,0297.38%, 6/15/19 300 368,9475.38%, 6/21/20 250 286,3304.50%, 11/15/20 400 439,0665.70%, 12/14/36 950 1,135,871

12,769,980Internet Software & Services — 0.1%Equinix, Inc., 4.88%, 4/01/20 87 88,740VeriSign, Inc., 4.63%, 5/01/23 345 338,962

427,702IT Services — 0.6%First Data Corp. (a):

7.38%, 6/15/19 205 218,8378.88%, 8/15/20 1,000 1,090,0006.75%, 11/01/20 1,192 1,290,340

2,599,177




Corporate BondsPar

(000) Value

Life Sciences Tools & Services — 0.1%Agilent Technologies, Inc., 3.20%, 10/01/22 USD 250 $ 245,713Marine — 0.3%Nakilat, Inc., Series A, 6.07%, 12/31/33 (a)(d) 1,100 1,237,500Media — 5.7%AMC Networks, Inc.:

7.75%, 7/15/21 320 353,2004.75%, 12/15/22 343 347,287

Cinemark USA, Inc., 5.13%, 12/15/22 175 177,844Clear Channel Communications, Inc.,

9.00%, 12/15/19 306 316,710Clear Channel Worldwide Holdings, Inc., Series B,

6.50%, 11/15/22 2,485 2,655,595Comcast Cable Communications Holdings, Inc.,

9.46%, 11/15/22 (d) 2,000 2,909,144COX Communications, Inc.,

6.95%, 6/01/38 (a) 1,000 1,256,4418.38%, 3/01/39 (a) 1,735 2,522,017

DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.:6.38%, 3/01/41 260 322,9325.15%, 3/15/42 700 753,675

Gray Television, Inc., 7.50%, 10/01/20 334 352,370Inmarsat Finance PLC, 4.88%, 5/15/22 (a) 500 501,250Intelsat Jackson Holdings SA, 5.50%, 8/01/23 700 697,375Live Nation Entertainment, Inc.,

7.00%, 9/01/20 (a) 109 117,448NAI Entertainment Holdings/NAI Entertainment

Holdings Finance Corp., 5.00%, 8/01/18 (a) 345 354,487NBCUniversal Media LLC (d):

5.15%, 4/30/20 1,974 2,259,6244.38%, 4/01/21 1,015 1,121,618

Omnicom Group, Inc., 3.63%, 5/01/22 (d) 2,355 2,421,649Sirius XM Holdings, Inc., 4.25%, 5/15/20 (a) 334 327,320Time Warner, Inc.:

4.70%, 1/15/21 1,000 1,104,8216.10%, 7/15/40 615 740,123

Unitymedia Hessen GmbH & Co. KG/UnitymediaNRW GmbH, 5.50%, 1/15/23 (a) 250 255,625

Univision Communications, Inc.,5.13%, 5/15/23 (a) 1,153 1,207,767

Virgin Media Secured Finance PLC,5.38%, 4/15/21 (a) 395 410,800

23,487,122Metals & Mining — 3.8%Alcoa, Inc., 5.40%, 4/15/21 1,450 1,580,965ArcelorMittal:

4.25%, 8/05/15 174 177,6986.13%, 6/01/18 386 420,257

Commercial Metals Co., 4.88%, 5/15/23 561 549,780Corp. Nacional del Cobre de Chile,

3.00%, 7/17/22 (a)(d) 1,566 1,539,323FMG Resources August 2006 Property Ltd.,

6.00%, 4/01/17 (a) 105 109,463Freeport-McMoRan Copper & Gold, Inc.:

3.55%, 3/01/22 540 542,9385.45%, 3/15/43 450 486,195

New Gold, Inc., 6.25%, 11/15/22 (a) 435 456,750Newcrest Finance Property Ltd.,

4.45%, 11/15/21 (a) 475 473,097Novelis, Inc., 8.75%, 12/15/20 4,105 4,541,156Teck Resources, Ltd., 5.38%, 10/01/15 2,350 2,459,867Wise Metals Group LLC/Wise Alloys Finance Corp.,

8.75%, 12/15/18 (a) 598 645,840Xstrata Canada Corp., 6.20%, 6/15/35 1,550 1,739,407

15,722,736Multiline Retail — 0.3%Dufry Finance SCA, 5.50%, 10/15/20 (a) 1,260 1,310,463

Corporate BondsPar

(000) Value

Oil, Gas & Consumable Fuels — 10.3%Access Midstream Partners LP/ACMP Finance Corp.,

6.13%, 7/15/22 USD 400 $ 435,000Anadarko Petroleum Corp., 5.95%, 9/15/16 1,916 2,103,666Antero Resources Finance Corp., 5.38%, 11/01/21 153 157,590Athlon Holdings LP/Athlon Finance Corp.,

7.38%, 4/15/21 159 172,515Bonanza Creek Energy, Inc., 6.75%, 4/15/21 99 103,950Burlington Resources Finance Co.,

7.40%, 12/01/31 (d) 950 1,376,369Carrizo Oil & Gas, Inc., 7.50%, 9/15/20 400 428,000Cenovus Energy, Inc., 6.75%, 11/15/39 750 996,115Chesapeake Energy Corp., 5.75%, 3/15/23 615 686,494ConocoPhillips Canada Funding Co.,

5.95%, 10/15/36 150 191,161Continental Resources, Inc.:

5.00%, 9/15/22 (d) 1,600 1,726,0004.50%, 4/15/23 114 123,107

Denbury Resources, Inc., 4.63%, 7/15/23 627 605,055El Paso LLC, 7.80%, 8/01/31 45 55,800El Paso Natural Gas Co., 8.38%, 6/15/32 275 376,336Energy Transfer Partners LP, 7.50%, 7/01/38 500 655,341Energy XXI Gulf Coast, Inc., 9.25%, 12/15/17 455 482,300Enterprise Products Operating LLC,

6.13%, 10/15/39 700 872,348KeySpan Gas East Corp., 5.82%, 4/01/41 (a)(d) 505 643,612Kinder Morgan Energy Partners LP:

6.50%, 9/01/39 3,000 3,514,8966.55%, 9/15/40 110 129,3276.38%, 3/01/41 160 186,923

Kinder Morgan, Inc., 5.63%, 11/15/23 (a) 170 187,425Kodiak Oil & Gas Corp., 5.50%, 2/01/22 106 111,830Linn Energy LLC/Linn Energy Finance Corp.,

6.25%, 11/01/19 237 244,703Marathon Petroleum Corp., 6.50%, 3/01/41 1,052 1,323,523MarkWest Energy Partners LP/MarkWest Energy

Finance Corp.:6.25%, 6/15/22 33 35,4754.50%, 7/15/23 10 10,163

Memorial Production Partners LP/MemorialProduction Finance Corp., 7.63%, 5/01/21 212 219,950

MidAmerican Energy Co., 5.80%, 10/15/36 (d) 800 1,025,059MidAmerican Energy Holdings Co.:

5.95%, 5/15/37 950 1,179,1536.50%, 9/15/37 2,115 2,790,364

Nexen, Inc.:6.40%, 5/15/37 400 499,6217.50%, 7/30/39 670 946,360

Pacific Drilling SA, 5.38%, 6/01/20 (a) 370 360,750PBF Holding Co. LLC/PBF Finance Corp.,

8.25%, 2/15/20 47 50,643PDC Energy, Inc., 7.75%, 10/15/22 260 284,700Pemex Project Funding Master Trust,

6.63%, 6/15/35 2,005 2,471,162Petrobras International Finance Co.:

3.88%, 1/27/16 1,335 1,372,3755.75%, 1/20/20 1,760 1,897,192

Pioneer Natural Resources Co., 3.95%, 7/15/22 350 366,893Premier Oil PLC, 5.00%, 6/09/18 1,900 1,995,000Range Resources Corp.:

5.75%, 6/01/21 106 113,1555.00%, 8/15/22 27 28,7215.00%, 3/15/23 63 66,938

Regency Energy Partners LP/Regency EnergyFinance Corp., 4.50%, 11/01/23 249 250,867

RKI Exploration & Production LLC/RKI FinanceCorp., 8.50%, 8/01/21 (a) 118 126,850

Rosetta Resources, Inc., 5.63%, 5/01/21 239 244,676




Corporate BondsPar

(000) Value

Oil, Gas & Consumable Fuels (concluded)Sabine Pass Liquefaction LLC:

5.63%, 2/01/21 USD 1,791 $ 1,889,5056.25%, 3/15/22 (a) 398 431,8305.63%, 4/15/23 469 487,760

SandRidge Energy, Inc.:8.75%, 1/15/20 18 18,9007.50%, 2/15/23 238 247,520

Summit Midstream Holdings LLC/SummitMidstream Finance Corp., 7.50%, 7/01/21 388 426,800

Western Gas Partners LP, 5.38%, 6/01/21 715 812,762Whiting Petroleum Corp., 5.00%, 3/15/19 821 866,155The Williams Cos., Inc., Series A, 7.50%, 1/15/31 2,500 2,977,077

42,383,762Paper & Forest Products — 0.3%International Paper Co.:

7.50%, 8/15/21 75 95,6304.75%, 2/15/22 420 464,2686.00%, 11/15/41 435 522,873

NewPage Corp., 11.38%, 12/31/14 (e)(f) 1,144 —1,082,771

Pharmaceuticals — 0.9%Forest Laboratories, Inc. (a):

4.38%, 2/01/19 228 245,6045.00%, 12/15/21 379 417,937

Jaguar Holding Co. II/Jaguar Merger Sub, Inc.,9.50%, 12/01/19 (a) 520 565,500

Salix Pharmaceuticals Ltd., 6.00%, 1/15/21 (a) 162 175,770Valeant Pharmaceuticals International, Inc. (a):

6.75%, 8/15/18 1,322 1,414,5406.38%, 10/15/20 575 601,5945.63%, 12/01/21 378 384,142

3,805,087Real Estate Investment Trusts (REITs) — 0.7%Felcor Lodging LP, 5.63%, 3/01/23 247 250,087Simon Property Group LP, 4.75%, 3/15/42 (d) 835 915,342Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21 275 303,112Vornado Realty LP, 5.00%, 1/15/22 1,190 1,310,242

2,778,783Real Estate Management & Development — 1.0%Lennar Corp., 4.75%, 11/15/22 440 433,400Northwest Florida Timber Finance LLC,

4.75%, 3/04/29 (a) 2,300 2,409,020Realogy Corp., 7.63%, 1/15/20 (a)(d) 997 1,086,730

3,929,150Road & Rail — 0.9%Burlington Northern Santa Fe LLC, 5.75%, 5/01/40 940 1,141,674The Hertz Corp.:

4.25%, 4/01/18 237 238,1855.88%, 10/15/20 230 236,6137.38%, 1/15/21 1,450 1,551,5006.25%, 10/15/22 385 401,362

3,569,334Semiconductors & Semiconductor Equipment — 0.1%NXP BV/NXP Funding LLC, 5.75%, 2/15/21 (a) 470 493,500Software — 0.5%Nuance Communications, Inc., 5.38%, 8/15/20 (a) 1,085 1,090,425Oracle Corp., 5.38%, 7/15/40 (d) 800 939,231

2,029,656Specialty Retail — 0.6%The Home Depot, Inc., 5.88%, 12/16/36 (d) 830 1,052,592QVC, Inc. (a):

7.50%, 10/01/19 395 412,3257.38%, 10/15/20 975 1,042,187

2,507,104

Corporate BondsPar

(000) Value

Textiles, Apparel & Luxury Goods — 0.3%PVH Corp., 4.50%, 12/15/22 USD 487 $ 483,347Springs Industries, Inc., 6.25%, 6/01/21 404 406,020The William Carter Co., 5.25%, 8/15/21 329 343,805

1,233,172Tobacco — 1.2%Altria Group, Inc.:

9.95%, 11/10/38 258 438,25710.20%, 2/06/39 447 773,8065.38%, 1/31/44 (d) 2,015 2,238,032

Lorillard Tobacco Co., 7.00%, 8/04/41 500 631,462Reynolds American, Inc., 4.75%, 11/01/42 1,050 1,024,752

5,106,309Wireless Telecommunication Services — 2.4%America Movil SAB de CV, 2.38%, 9/08/16 800 819,440Crown Castle International Corp., 5.25%, 1/15/23 465 480,257Crown Castle Towers LLC, 6.11%, 1/15/20 (a) 1,595 1,865,332Digicel Group Ltd., 8.25%, 9/30/20 (a) 405 437,400Digicel Ltd., 6.00%, 4/15/21 (a) 800 824,000Rogers Communications, Inc., 7.50%, 8/15/38 1,175 1,617,759SBA Tower Trust, 5.10%, 4/15/17 (a) 360 382,507Softbank Corp., 4.50%, 4/15/20 (a) 550 559,625Sprint Capital Corp., 8.75%, 3/15/32 350 390,250Sprint Communications, Inc. (a):

9.00%, 11/15/18 530 630,0377.00%, 3/01/20 872 972,280

Sprint Corp., 7.88%, 9/15/23 (a) 850 911,6259,890,512

Total Corporate Bonds — 78.7% 322,976,437

Foreign Agency Obligations

Brazilian Government International Bond,5.00%, 1/27/45 2,862 2,933,550

Cyprus Government International Bond,4.63%, 2/03/20 EUR 605 790,965

Iceland Government International Bond,5.88%, 5/11/22 USD 1,780 2,025,649

Italian Republic, 5.38%, 6/15/33 470 571,240Portugal Government International Bond,

5.13%, 10/15/24 (a) 625 646,625Slovenia Government International Bond,

5.85%, 5/10/23 (a) 432 488,592Total Foreign Agency Obligations — 1.8% 7,456,621

Municipal Bonds

City of Detroit Michigan, GO, Taxable CapitalImprovement, Limited Tax, Series A-2,8.00%, 4/01/15 (e)(f) 1,525 427,153

City of New York New York Municipal Water FinanceAuthority, Refunding RB, 2nd General Resolution:

Series EE, 5.50%, 6/15/43 465 549,756Series GG, Build America Bonds,

5.72%, 6/15/42 690 891,190Water & Sewer System, Fiscal 2011, Series EE,

5.38%, 6/15/43 385 450,900East Bay Municipal Utility District, RB, Build America

Bonds, 5.87%, 6/01/40 950 1,225,795Indianapolis Local Public Improvement Bond Bank,

RB, Build America Bonds, 6.12%, 1/15/40 1,260 1,646,354Metropolitan Transportation Authority, RB, Build

America Bonds, Series C, 7.34%, 11/15/39 670 1,020,792




Municipal BondsPar

(000) Value

Municipal Electric Authority of Georgia Plant VogtleUnits 3 & 4, Refunding RB, Build America Bonds,Series A, 7.06%, 4/01/57 USD 1,000 $ 1,156,240

New York State Dormitory Authority, RB, BuildAmerica Bonds:

5.63%, 3/15/39 550 674,9605.60%, 3/15/40 950 1,181,971

Port Authority of New York & New Jersey, RB,Consolidated, 159th Series, 6.04%, 12/01/29 395 499,335

State of California, GO, Build America Bonds,Various Purpose:

7.55%, 4/01/39 140 211,4747.63%, 3/01/40 860 1,299,451

State of Illinois, GO, Pension, 5.10%, 6/01/33 1,000 991,670University of California, RB, Build America Bonds,

5.95%, 5/15/45 440 559,099Total Municipal Bonds — 3.1% 12,786,140

Non-Agency Mortgage-Backed Securities

Collateralized Mortgage Obligations — 1.4%Banc of America Funding Corp., Series 2007-2,

Class 1A2, 6.00%, 3/25/37 660 556,822Collateralized Mortgage Obligation Trust, Series 40,

Class R, 0.58%, 4/01/18 16 16Countrywide Alternative Loan Trust:

Series 2005-64CB, Class 1A15,5.50%, 12/25/35 1,102 1,043,597

Series 2006-OA21, Class A1,0.35%, 3/20/47 (b) 727 588,819

Countrywide Home Loan Mortgage Pass-ThroughTrust, Series 2006-OA5, Class 2A1,0.36%, 4/25/46 (b) 293 245,184

Credit Suisse Mortgage Capital Certificates,Series 2011-2R, Class 2A1,2.61%, 7/27/36 (a)(b) 956 968,283

GMAC Mortgage Corp. Loan Trust,Series 2005-AR3, Class 5A1,5.06%, 6/19/35 (b) 550 554,671

Homebanc Mortgage Trust, Series 2006-2,Class A1, 0.34%, 12/25/36 (b) 463 408,135

Merrill Lynch Mortgage Investors, Inc.,Series 2006-A3, Class 3A1, 2.71%, 5/25/36 (b) 551 452,613

Residential Funding Securities LLC,Series 2003-RM2, Class AI5, 8.50%, 5/25/33 637 674,931

WaMu Mortgage Pass-Through Certificates,Series 2007-OA4, Class 1A, 0.89%, 5/25/47 (b) 307 272,371

5,765,442Commercial Mortgage-Backed Securities — 12.9%Banc of America Merrill Lynch Commercial

Mortgage Trust:Series 2006-6, Class A2, 5.31%, 10/10/45 147 147,851Series 2007-1, Class A4, 5.45%, 1/15/49 500 536,104Series 2007-2, Class A4, 5.78%, 4/10/49 (b) 750 818,490

Bear Stearns Commercial Mortgage Securities,Series 2005-PWR9, Class A4A, 4.87%, 9/11/42 663 681,893

Citigroup Commercial Mortgage Trust (b):Series 2008-C7, Class A4, 6.34%, 12/10/49 1,200 1,329,745Series 2013-GC15, Class B, 5.28%, 9/10/46 3,593 3,983,444Series 2013-GC15, Class XA, 1.46%, 9/10/46 13,194 926,954

Citigroup/Deutsche Bank Commercial MortgageTrust, Series 2006-CD3, Class AM,5.65%, 10/15/48 1,100 1,189,716

Commercial Mortgage Loan Trust, Series 2008-LS1,Class A4B, 6.21%, 12/10/49 (b) 1,421 1,545,188


(000) Value

Commercial Mortgage-Backed Securities (concluded)Commercial Mortgage Trust:

Series 2006-C7, Class AM,5.97%, 6/10/46 (b) USD 1,750 $ 1,872,043

Series 2013-CR11, Class B,5.33%, 10/10/46 (b) 3,505 3,892,166

Series 2013-CR11, Class C,5.34%, 10/10/46 (a)(b) 3,271 3,526,230

Series 2013-LC6, Class B, 3.74%, 1/10/46 695 699,949Series 2013-LC6, Class D,

4.43%, 1/10/46 (a)(b) 835 787,811Credit Suisse Commercial Mortgage Trust:

Series 2006-C3, Class AM,6.00%, 6/15/38 (b) 1,000 1,072,522

Series 2006-C5, Class AM, 5.34%, 12/15/39 1,750 1,881,647Series 2010-RR2, Class 2A,

6.10%, 9/15/39 (a)(b) 774 831,994Credit Suisse First Boston Mortgage Securities

Corp., Series 2005-C3, Class AJ,4.77%, 7/15/37 705 718,278

DBRR Trust, Series 2011-C32, Class A3A,5.93%, 6/17/49 (a)(b) 365 399,017

Greenwich Capital Commercial Funding Corp.,Series 2006-GG7, Class A4, 6.01%, 7/10/38 (b) 1,132 1,205,804

GS Mortgage Securities Corp. II, Series 2013-GC10,Class B, 3.68%, 2/10/46 (a) 1,255 1,255,236

Hilton USA Trust, Series 2013- HLT,4.41%, 11/05/30 2,950 3,020,517

JPMBB Commercial Mortgage Securities Trust,Series 2013-C15, Class D,5.25%, 11/15/45 (a)(b) 800 794,388

JPMorgan Chase Commercial Mortgage SecuritiesCorp., Series 2004-LN2, Class A2,5.12%, 7/15/41 105 105,659

JPMorgan Chase Commercial Mortgage SecuritiesTrust, Series 2006-CB14, Class AM,5.62%, 12/12/44 (b) 330 346,995

LB-UBS Commercial Mortgage Trust (b):Series 2004-C8, Class C, 4.93%, 12/15/39 1,385 1,391,847Series 2007-C6, Class A4, 5.86%, 7/15/40 4,921 5,233,668Series 2007-C7, Class A3, 5.87%, 9/15/45 1,100 1,223,175

Morgan Stanley Capital I Trust, Series 2007-HQ11,Class A4, 5.45%, 2/12/44 (b) 4,000 4,327,020

RCMC LLC, Series 2012-CRE1, Class A,5.62%, 11/15/44 (a) 659 679,405

Titan Europe PLC, Series 2007-1X, Class A,0.81%, 1/20/17 (b) GBP 1,607 2,535,059

Wachovia Bank Commercial Mortgage Trust,Series 2007-C33, Class A4, 6.14%, 2/15/51 (b) USD 2,285 2,478,192

WF-RBS Commercial Mortgage Trust,Series 2012-C8:

Class B, 4.31%, 8/15/45 700 736,370Class C, 5.04%, 8/15/45 (b) 900 963,951

53,138,328Interest Only Collateralized Mortgage Obligations — 0.0%GSMPS Mortgage Loan Trust, Series 1998-5,

0.00%, 6/19/27 (a)(b) 1,488 15Interest Only Commercial Mortgage-Backed Securities — 0.8%Morgan Stanley Bank of America Merrill Lynch Trust,

Series 2012-C5, Class XA,2.02%, 8/15/45 (a)(b) 15,562 1,372,238

WF-RBS Commercial Mortgage Trust,Class XA (a)(b):

Series 2012-C8, 2.37%, 8/15/45 5,957 651,685Series 2012-C9, 2.39%, 11/15/45 10,497 1,233,122

3,257,045Total Non-Agency Mortgage-Backed Securities — 15.1% 62,160,830





(000) Value

Capital Trusts

Banks — 0.7%BNP Paribas SA, 7.20% (a)(b)(i) USD 1,000 $ 1,167,500Wachovia Capital Trust III, 5.57% (b)(i) 1,025 1,004,500Wells Fargo & Co., Series S, 5.90% (b)(i) 795 832,763

3,004,763Capital Markets — 1.4%The Bank of New York Mellon Corp., Series D,

4.50% (b)(i) 4,202 3,939,375Credit Suisse Group AG, 7.50% (a)(b)(i) 1,500 1,627,500State Street Capital Trust IV, 1.23%, 6/15/37 (b) 70 60,462

5,627,337Diversified Financial Services — 4.4%Citigroup, Inc., Series D, 5.35% (b)(i) 1,050 1,002,612Citigroup, Inc., Series M, 6.30% (b)(i) 2,000 2,035,000Credit Agricole SA, 7.88% (a)(b)(i) 1,000 1,078,750General Electric Capital Corp., Series B,

6.25% (b)(i) 900 1,004,625JPMorgan Chase & Co.:

Series 1, 7.90% (b)(i) 3,500 3,871,875Series Q, 5.15% (b)(i) 1,500 1,460,625Series V, 5.00% (b)(i) 3,000 2,974,968

Morgan Stanley, Series H, 5.45% (b)(i) 875 890,313Societe Generale SA (a)(b)(i):

6.00% 2,860 2,731,3007.88% 1,000 1,042,700

18,092,768Electric Utilities — 0.5%Electricite de France SA, 5.25% (a)(b)(i) 2,100 2,168,250Insurance — 4.3%The Allstate Corp.,

5.75%, 8/15/53 (b) 1,000 1,070,0006.50%, 5/15/57 (b)(d) 2,150 2,356,937

American International Group, Inc.,8.18%, 5/15/58 (b) 970 1,336,175

AXA SA, 6.46% (a)(b)(i) 1,025 1,087,781Genworth Holdings, Inc., 6.15%, 11/15/66 (b) 1,150 1,012,000Liberty Mutual Group, Inc., 7.00%, 3/07/37 (a)(b) 975 1,035,937Lincoln National Corp., 6.05%, 4/20/67 (b) 750 769,688Metlife Capital Trust IV, 7.88%, 12/15/37 (a) 645 823,988MetLife, Inc., 6.40%, 12/15/36 3,500 3,946,250Swiss Re Capital I LP, 6.85% (a)(b)(d)(i) 1,060 1,115,650Voya Financial, Inc., 5.65%, 5/15/53 (b) 2,250 2,289,375XL Group PLC, Series E, 6.50% (b)(i) 810 782,663

17,626,444Total Capital Trusts — 11.3% 46,519,562


Banks — 1.3%U.S. Bancorp, 6.00% (b) 150,000 4,108,500Wells Fargo & Co., 5.85% (b) 38 977,625

5,086,125Capital Markets — 0.4%The Goldman Sachs Group, Inc., Series J, 0.00% (b) 46,000 1,126,080SCE Trust III, 0.00% (b) 12,657 336,423

1,462,503Thrifts & Mortgage Finance — 0.0%Fannie Mae, Series S, 8.25% (b) 10,000 110,000Total Preferred Stocks — 1.7% 6,658,628

Trust Preferred — 0.1%Par

(000) Value

Banks — 0.1%Citigroup Capital XIII, 7.88% 10/30/40 (i) USD 14,810 $ 400,913Total Preferred Securities — 13.1% 53,579,103

US Government Sponsored Agency Securities

Agency Obligations — 3.3%Fannie Mae (d):

0.00%, 10/09/19 (j) 7,305 6,465,7365.63%, 7/15/37 825 1,125,863

Federal Home Loan Bank (d):5.25%, 12/09/22 700 843,9295.37%, 9/09/24 1,100 1,349,412

Resolution Funding Corp., 0.00%, 4/15/30 (j) 6,055 3,672,66013,457,600

Collateralized Mortgage Obligations — 0.1%Fannie Mae Mortgage-Backed Securities:

Series 2005-5, Class PK, 5.00%, 12/25/34 273 289,490Series 1991-87, Class S,

26.27%, 8/25/21 (b) 10 14,705Series G-49, Class S,

1,018.68%, 12/25/21 (b) —(k) 286Series G-17, Class S, 1,064.92%, 6/25/21 (b) 49 767Series G-33, Class PV, 1,078.42%, 10/25/21 49 488Series G-07, Class S, 1,127.09%, 3/25/21 (b) —(k) 842Series 1991-46, Class S,

2,483.51%, 5/25/21 (b) 26 1,559Freddie Mac Mortgage-Backed Securities:

Series 0173, Class R, 9.00%, 11/15/21 3 3Series 0173, Class RS,

9.50%, 1/15/21–11/15/21 (b) —(k) 4Series 0075, Class RS, 50.25%, 1/15/21 (b) —(k) 1Series 1057, Class J, 1,008.00%, 3/15/21 20 272Series 0019, Class R,

16,324.45%, 3/15/20 (b) 1 208308,625

Commercial Mortgage-Backed Securities — 0.7%Freddie Mac Mortgage-Backed Securities (b):

Series 2013-K24, Class B,3.62%, 11/25/45 (a) 1,750 1,728,745

Series K013, Class A2, 3.97%, 1/25/21 930 1,016,225Series 2012-K706, Class C,

4.16%, 11/25/44 (a) 170 175,5142,920,484


Series 1997-50, Class SI, 1.20%, 4/25/23 (b) 88 2,803Series 2012-96, Class DI, 4.00%, 2/25/27 6,075 670,295Series 2012-M9, Class X1,

4.23%, 12/25/17 (b) 12,519 1,347,498Series 2012-47, Class NI, 4.50%, 4/25/42 4,646 772,445Series 089, Class 2, 8.00%, 10/25/18 1 109Series 007, Class 2, 8.50%, 4/25/17 1 77Series G92-05, Class H, 9.00%, 1/25/22 10 960Series 094, Class 2, 9.50%, 8/25/21 1 126Series 1990-136, Class S,

19.92%, 11/25/20 (b) 3,187 4,471Series 1991-139, Class PT,

648.35%, 10/25/21 55 564Series 1991-099, Class L, 930.00%, 8/25/21 24 304Series 1990-123, Class M,

1,009.50%, 10/25/20 5 71Series G-10, Class S, 1,090.36%, 5/25/21 (b) 134 3,275Series G-12, Class S, 1,157.49%, 5/25/21 (b) 96 1,898





(000) Value

Interest Only Collateralized Mortgage Obligations (concluded)Freddie Mac Mortgage-Backed Securities:

Series K707, Class X1, 1.69%, 12/25/18 (b) USD 2,482 $ 143,836Series K710, Class X1, 1.91%, 5/25/19 (b) 8,558 609,036Series 2611, Class QI, 5.50%, 9/15/32 828 89,875Series 1254, Class Z, 8.50%, 4/15/22 32 8,174Series 1043, Class H, 44.31%, 2/15/21 (b) 2,421 4,730Series 1054, Class I, 868.00%, 3/15/21 (b) 18 344Series 0176, Class M, 1,010.00%, 7/15/21 8 147Series 1056, Class KD, 1,084.50%, 3/15/21 13 211Series 1148, Class E,

1,178.74%, 10/15/21 (b) 36 639Series 0200, Class R,

198,052.82%, 12/15/22 (b) —(k) 317Ginnie Mae Mortgage-Backed Securities (b):

Series 2009-78, Class SD, 6.04%, 9/20/32 4,817 927,776Series 2009-116, Class KS, 6.32%, 12/16/39 2,386 370,399Series 2011-52, Class NS, 6.52%, 4/16/41 13,067 2,397,384


3.00%, 9/01/44 (l) 6,800 6,770,2504.00%, 12/01/41–9/01/44 (l) 4,940 5,240,7784.50%, 7/01/41–9/01/44 (l) 12,018 12,988,1995.00%, 8/01/34 2,093 2,312,7045.50%, 7/01/16–6/01/38 1,254 1,402,4616.00%, 3/01/16–12/01/38 1,053 1,183,731

Ginnie Mae Mortgage-Backed Securities,8.00%, 7/15/24 —(k) 303

29,898,426Principal Only Collateralized Mortgage Obligations — 0.0%Fannie Mae Mortgage-Backed Securities:

Series 228, Class 1,0.00%, 2/25/23–6/25/23 11 10,050

Series 1993-51, Class E, 0.01%, 2/25/23 16 14,90024,950

Total U.S. Government Sponsored Agency Securities — 13.2% 53,967,849


(000) Value

U.S. Treasury Bonds:6.13%, 8/15/29 (d) USD 2,500 $ 3,567,5775.38%, 2/15/31 (d) 375 505,8403.50%, 2/15/39 (d) 2,865 3,117,031


(000) Value

U.S. Treasury Bonds (concluded):4.38%, 5/15/40 (d) USD 8,225 $ 10,277,3924.75%, 2/15/41 (d) 1,621 2,146,5594.38%, 5/15/41 (d) 805 1,009,5203.13%, 11/15/41 (d) 9,925 10,073,9563.13%, 2/15/42 (d) 2,368 2,400,5603.00%, 5/15/42 (d) 2,730 2,699,2883.13%, 2/15/43 (d) 2,344 2,365,4703.75%, 11/15/43 1,065 1,205,1143.63%, 2/15/44 (d) 5,000 5,534,3753.38%, 5/15/44 2,000 2,115,000

U.S. Treasury Notes (d):1.50%, 1/31/19 5,100 5,096,4151.75%, 5/15/22 152 147,8672.50%, 5/15/24 2,450 2,485,028



Short-Term Securities Shares

BlackRock Liquidity Funds, TempFund, InstitutionalClass, 0.03% (m)(n) 3,425,318 3,425,318


Options Purchased

(Cost — $1,408,661) — 0.2% 954,199

Total Investments Before Options Written(Cost — $562,700,589) — 145.8% 598,524,126

Options Written

(Premiums Received — $3,351,152) — (0.6)% (2,588,336)

Total Investments, Net of Options Written(Cost — $559,349,437) — 145.2% 595,935,790

Liabilities in Excess of Other Assets — (45.2)% (185,433,229)Net Assets — 100.0% $ 410,502,561


(a) Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration toqualified institutional investors.

(b) Variable rate security. Rate shown is as of report date.

(c) When-issued security. Unsettled when-issued transactions were as follows:


Appreciation

Bank of America N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,869,000 —Barclays Capital, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $2,119,050 —

(d) All or a portion of security has been pledged as collateral in connection with outstanding reverse repurchase agreements.

(e) Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.

(f) Non-income producing security.

(g) Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date.

(h) Convertible security.




(i) Security is perpetual in nature and has no stated maturity date.

(j) Zero-coupon bond.

(k) Amount is less than $500.

(l) Represents or includes a TBA transaction. Unsettled TBA transactions as of August 31, 2014 were as follows:

Counterparty Value


(Depreciation)

Credit Suisse Securities (USA) LLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $6,770,250 $105,188Goldman Sachs & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $2,124,987 $ 15,351J.P. Morgan Securities LLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $9,180,000 $ 25,234

(m) Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2014, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

Affiliate

SharesHeld at

August 31, 2013Net

Activity

SharesHeld at


BlackRock Liquidity Funds, TempFund, Institutional Class . . . . . . . . . . . . . . . . . . . . . 6,904,938 (3,479,620) 3,425,318 $1,754

(n) Represents the current yield as of report date.



RateTradeDate



Credit Suisse Securities (USA) LLC 0.35% 2/01/13 Open $ 1,793,610 $ 1,803,672Credit Suisse Securities (USA) LLC 0.35% 2/01/13 Open 1,937,250 1,948,117Merrill Lynch, Pierce, Fenner & Smith Inc. 0.11% 4/02/13 Open 6,446,662 6,455,786Merrill Lynch, Pierce, Fenner & Smith Inc. 0.11% 4/02/13 Open 908,250 909,535Credit Suisse Securities (USA) LLC 0.35% 4/03/13 Open 1,967,006 1,976,855Credit Suisse Securities (USA) LLC 0.35% 4/03/13 Open 1,460,625 1,467,938Credit Suisse Securities (USA) LLC 0.35% 4/03/13 Open 1,232,000 1,238,169Credit Suisse Securities (USA) LLC 0.35% 4/03/13 Open 1,751,625 1,760,395Credit Suisse Securities (USA) LLC 0.35% 4/03/13 Open 599,688 602,690Credit Suisse Securities (USA) LLC 0.35% 4/03/13 Open 1,363,838 1,370,666Credit Suisse Securities (USA) LLC 0.35% 4/03/13 Open 1,505,318 1,512,855Credit Suisse Securities (USA) LLC 0.35% 4/03/13 Open 1,372,250 1,379,121Credit Suisse Securities (USA) LLC 0.35% 4/03/13 Open 1,600,156 1,608,168Credit Suisse Securities (USA) LLC 0.35% 4/03/13 Open 1,317,750 1,324,348Credit Suisse Securities (USA) LLC 0.35% 4/03/13 Open 262,813 264,128Credit Suisse Securities (USA) LLC 0.35% 4/03/13 Open 1,359,375 1,366,181Credit Suisse Securities (USA) LLC 0.35% 4/03/13 Open 1,284,050 1,290,479Credit Suisse Securities (USA) LLC 0.35% 4/03/13 Open 361,875 363,687Credit Suisse Securities (USA) LLC 0.35% 4/03/13 Open 411,500 413,560Merrill Lynch, Pierce, Fenner & Smith Inc. 0.09% 4/25/13 Open 10,877,562 10,883,283Merrill Lynch, Pierce, Fenner & Smith Inc. 0.08% 4/25/13 Open 3,262,519 3,264,991Merrill Lynch, Pierce, Fenner & Smith Inc. 0.07% 4/25/13 Open 3,560,880 3,563,923BNP Paribas Securities Corp. 0.04% 4/29/13 Open 1,045,494 1,045,813BNP Paribas Securities Corp. 0.07% 4/29/13 Open 2,212,665 2,213,797Barclays Capital, Inc. 0.35% 6/24/13 Open 3,344,932 3,359,047BNP Paribas Securities Corp. 0.06% 6/24/13 Open 493,594 493,806BNP Paribas Securities Corp. 0.11% 6/24/13 Open 1,077,656 1,078,795BNP Paribas Securities Corp. 0.32% 6/24/13 Open 2,886,000 2,897,134BNP Paribas Securities Corp. 0.34% 9/30/13 Open 3,568,000 3,579,322BNP Paribas Securities Corp. 0.34% 10/22/13 Open 1,825,000 1,830,395BNP Paribas Securities Corp. 0.35% 10/22/13 Open 4,559,100 4,572,974Credit Suisse Securities (USA) LLC 0.35% 10/22/13 Open 2,119,906 2,126,357Deutsche Bank Securities, Inc. 0.35% 10/31/13 Open 3,829,000 3,840,354UBS Securities LLC 0.28% 2/10/14 Open 3,396,000 3,401,335UBS Securities LLC 0.32% 2/10/14 Open 696,000 697,250UBS Securities LLC 0.32% 2/10/14 Open 343,000 343,616UBS Securities LLC 0.32% 2/10/14 Open 1,355,000 1,357,433UBS Securities LLC 0.32% 2/10/14 Open 1,416,000 1,418,543UBS Securities LLC 0.33% 2/10/14 Open 1,349,000 1,351,498UBS Securities LLC 0.33% 2/10/14 Open 1,124,000 1,126,081UBS Securities LLC 0.34% 2/10/14 Open 779,000 780,486UBS Securities LLC 0.34% 2/10/14 Open 753,000 754,437UBS Securities LLC 0.34% 2/10/14 Open 3,716,000 3,723,089

Schedule of Investments (continued) BlackRock Income Opportunity Trust, Inc. (BNA)



Reverse repurchase agreements outstanding as of August 31, 2014 were as follows (concluded):


RateTradeDate



UBS Securities LLC 0.34% 2/10/14 Open $ 844,000 $ 845,610UBS Securities LLC 0.34% 2/10/14 Open 886,000 887,690UBS Securities LLC 0.35% 2/10/14 Open 995,000 996,954UBS Securities LLC 0.40% 2/10/14 Open 496,000 497,113RBC Capital Markets, LLC 0.11% 3/13/14 Open 5,037,500 5,039,907Deutsche Bank Securities, Inc. 0.11% 4/16/14 Open 1,300,000 1,300,545Deutsche Bank Securities, Inc. 0.34% 4/21/14 Open 2,090,000 2,092,612Deutsche Bank Securities, Inc. 0.34% 5/13/14 Open 931,000 931,967Deutsche Bank Securities, Inc. 0.34% 5/13/14 Open 670,000 670,696Deutsche Bank Securities, Inc. 0.34% 5/13/14 Open 873,000 873,907UBS Securities LLC 0.32% 5/14/14 Open 1,605,000 1,606,569UBS Securities LLC 0.34% 5/14/14 Open 845,000 845,878UBS Securities LLC 0.34% 5/14/14 Open 793,000 793,824UBS Securities LLC 0.34% 5/14/14 Open 1,172,000 1,173,218UBS Securities LLC 0.35% 5/14/14 Open 832,000 832,890UBS Securities LLC 0.37% 5/14/14 Open 1,109,000 1,110,254UBS Securities LLC 0.40% 5/14/14 Open 3,870,000 3,874,730Barclays Capital, Inc. 0.35% 5/14/14 Open 1,008,000 1,009,709Barclays Capital, Inc. 0.35% 5/14/14 Open 1,252,000 1,253,289Barclays Capital, Inc. 0.35% 5/14/14 Open 354,000 354,397Barclays Capital, Inc. 0.35% 5/14/14 Open 1,782,000 1,783,834BNP Paribas Securities Corp. 0.01% 5/20/14 Open 3,521,875 3,522,485Barclays Capital, Inc. (1.75)% 6/25/14 Open 1,107,160 1,103,500Deutsche Bank Securities, Inc. 0.07% 7/3/14 Open 2,431,625 2,431,260BNP Paribas Securities Corp. 0.08% 7/7/14 Open 9,478,375 9,479,533BNP Paribas Securities Corp. 0.08% 7/7/14 Open 2,535,488 2,535,797BNP Paribas Securities Corp. 0.10% 7/7/14 Open 145,540 145,562BNP Paribas Securities Corp. 0.32% 7/7/14 Open 2,282,000 2,283,116BNP Paribas Securities Corp. 0.32% 7/7/14 Open 490,000 490,240BNP Paribas Securities Corp. 0.33% 7/7/14 Open 2,300,000 2,301,160BNP Paribas Securities Corp. 0.33% 7/7/14 Open 968,000 968,488BNP Paribas Securities Corp. 0.33% 7/7/14 Open 2,780,000 2,781,402BNP Paribas Securities Corp. 0.34% 7/7/14 Open 2,162,000 2,163,123BNP Paribas Securities Corp. 0.34% 7/7/14 Open 1,069,000 1,069,555BNP Paribas Securities Corp. 0.34% 7/7/14 Open 853,000 853,443BNP Paribas Securities Corp. 0.34% 7/7/14 Open 1,823,000 1,823,947BNP Paribas Securities Corp. 0.09% 7/8/14 Open 5,112,750 5,113,364BNP Paribas Securities Corp. 0.08% 7/8/14 Open 1,935,000 1,935,290RBC Capital Markets, LLC 0.34% 7/17/14 Open 1,656,000 1,656,719Credit Suisse Securities (USA) LLC 0.14% 8/12/14 9/11/14 11,372,000 11,372,885Total $171,292,262 $171,566,571



ContractsPurchased/

(Sold) Issue Exchange ExpirationNotional

Value


(Depreciation)

65 Long U.S. Treasury Bond Chicago Board of Trade December 2014 USD 9,106,094 $ 33,565120 Ultra Long U.S. Treasury Bond Chicago Board of Trade December 2014 USD 18,660,000 143,270

48 2-Year U.S. Treasury Note Chicago Board of Trade December 2014 USD 10,514,250 4,903(186) 5-Year U.S. Treasury Note Chicago Board of Trade December 2014 USD 22,103,484 (27,711)(242) 10-Year U.S. Treasury Note Chicago Board of Trade December 2014 USD 30,439,063 (88,508)

Total $ 65,519


Currency Purchased Currency Sold CounterpartySettlement

DateUnrealized

Appreciation

USD 2,467,443 EUR 1,824,000 JPMorgan Chase Bank N.A. 10/21/14 $ 70,090USD 11,244,889 GBP 6,581,000 Bank of America N.A. 10/21/14 323,686

Total $393,776




• OTC interest rate swaptions purchased as of August 31, 2014 were as follows:


ExerciseRate


Floating RateIndex

ExpirationDate

NotionalAmount(000)

MarketValue

10-Year Interest Rate Swap Credit Suisse International Call 2.40% Receive 3-month LIBOR 9/02/14 USD 11,200 $ 1,65430-Year Interest Rate Swap Deutsche Bank AG Call 3.30% Receive 3-month LIBOR 5/22/17 USD 4,400 374,65310-Year Interest Rate Swap Credit Suisse International Put 3.45% Pay 3-month LIBOR 9/02/14 USD 67,200 —1-Year Interest Rate Swap Bank of America N.A. Put 0.60% Pay 3-month LIBOR 10/02/14 USD 11,950 2710-Year Interest Rate Swap Barclays Bank PLC Put 4.55% Pay 3-month LIBOR 4/25/17 USD 10,400 147,46410-Year Interest Rate Swap JPMorgan Chase Bank N.A. Put 4.60% Pay 3-month LIBOR 4/28/17 USD 10,400 141,66130-Year Interest Rate Swap Deutsche Bank AG Put 4.30% Pay 3-month LIBOR 5/22/17 USD 4,400 147,82610-Year Interest Rate Swap Deutsche Bank AG Put 4.50% Pay 3-month LIBOR 5/22/18 USD 6,000 140,914

Total $ 954,199

• OTC interest rate swaptions written as of August 31, 2014 were as follows:


ExerciseRate


Floating RateIndex

ExpirationDate

NotionalAmount(000)

MarketValue

10-Year Interest Rate Swap Credit Suisse International Call 2.60% Pay 3-month LIBOR 9/02/14 USD 11,200 $ (104,844)10-Year Interest Rate Swap JPMorgan Chase Bank N.A. Call 3.25% Pay 3-month LIBOR 11/14/14 USD 6,300 (390,536)10-Year Interest Rate Swap Barclays Bank PLC Call 3.26% Pay 3-month LIBOR 11/14/14 USD 6,300 (393,335)10-Year Interest Rate Swap Deutsche Bank AG Call 2.85% Pay 3-month LIBOR 11/17/14 USD 7,500 (212,942)10-Year Interest Rate Swap Deutsche Bank AG Call 2.80% Pay 3-month LIBOR 2/10/15 USD 2,500 (62,117)10-Year Interest Rate Swap JPMorgan Chase Bank N.A. Call 2.50% Pay 3-month LIBOR 5/22/15 USD 12,000 (152,889)10-Year Interest Rate Swap Deutsche Bank AG Call 3.10% Pay 3-month LIBOR 2/26/16 USD 6,000 (241,173)10-Year Interest Rate Swap Deutsche Bank AG Call 3.15% Pay 3-month LIBOR 3/17/16 USD 6,000 (256,324)10-Year Interest Rate Swap Credit Suisse International Put 3.10% Receive 3-month LIBOR 9/02/14 USD 11,200 —10-Year Interest Rate Swap Deutsche Bank AG Put 2.80% Receive 3-month LIBOR 9/15/14 USD 3,700 (416)10-Year Interest Rate Swap JPMorgan Chase Bank N.A. Put 3.25% Receive 3-month LIBOR 11/14/14 USD 6,300 (2,072)10-Year Interest Rate Swap Barclays Bank PLC Put 3.26% Receive 3-month LIBOR 11/14/14 USD 6,300 (2,015)10-Year Interest Rate Swap Deutsche Bank AG Put 3.70% Receive 3-month LIBOR 11/17/14 USD 7,500 (256)10-Year Interest Rate Swap Barclays Bank PLC Put 3.15% Receive 3-month LIBOR 11/24/14 USD 5,000 (4,160)10-Year Interest Rate Swap Deutsche Bank AG Put 3.80% Receive 3-month LIBOR 2/10/15 USD 2,500 (1,384)10-Year Interest Rate Swap Bank of America N.A. Put 3.70% Receive 3-month LIBOR 2/25/15 USD 1,500 (1,497)10-Year Interest Rate Swap Barclays Bank PLC Put 3.65% Receive 3-month LIBOR 4/15/15 USD 1,100 (2,520)10-Year Interest Rate Swap Deutsche Bank AG Put 3.65% Receive 3-month LIBOR 4/15/15 USD 900 (2,062)10-Year Interest Rate Swap Citibank N.A. Put 3.65% Receive 3-month LIBOR 4/15/15 USD 1,000 (2,291)10-Year Interest Rate Swap JPMorgan Chase Bank N.A. Put 3.50% Receive 3-month LIBOR 5/22/15 USD 12,000 (56,968)10-Year Interest Rate Swap Deutsche Bank AG Put 4.15% Receive 3-month LIBOR 2/26/16 USD 6,000 (44,377)10-Year Interest Rate Swap Citibank N.A. Put 4.15% Receive 3-month LIBOR 2/29/16 USD 6,000 (44,771)10-Year Interest Rate Swap Deutsche Bank AG Put 4.05% Receive 3-month LIBOR 4/18/16 USD 1,600 (16,335)10-Year Interest Rate Swap Barclays Bank PLC Put 4.05% Receive 3-month LIBOR 4/18/16 USD 1,700 (17,355)10-Year Interest Rate Swap Goldman Sachs Bank USA Put 4.05% Receive 3-month LIBOR 4/18/16 USD 1,700 (17,355)10-Year Interest Rate Swap Citibank N.A. Put 4.05% Receive 3-month LIBOR 4/25/16 USD 5,000 (52,239)10-Year Interest Rate Swap BNP Paribas S.A. Put 4.10% Receive 3-month LIBOR 4/25/16 USD 3,600 (35,272)10-Year Interest Rate Swap Barclays Bank PLC Put 4.05% Receive 3-month LIBOR 4/25/17 USD 8,500 (191,317)10-Year Interest Rate Swap JPMorgan Chase Bank N.A. Put 4.10% Receive 3-month LIBOR 4/28/17 USD 8,500 (183,667)10-Year Interest Rate Swap Deutsche Bank AG Put 6.00% Receive 3-month LIBOR 5/22/18 USD 12,000 (95,847)

Total $(2,588,336)


FixedRate


EffectiveDate

ExpirationDate

NotionalAmount(000)


(Depreciation)

0.56%1 3-month LIBOR Chicago Mercantile N/A 6/25/15 USD 20,900 $ (45,712)1.69%1 3-month LIBOR Chicago Mercantile 10/03/142 11/30/18 USD 10,300 (36,331)3.97%1 3-month LIBOR Chicago Mercantile 4/25/192 4/25/24 USD 4,900 (144,799)2.77%1 3-month LIBOR Chicago Mercantile N/A 4/29/24 USD 400 (10,851)2.65%2 3-month LIBOR Chicago Mercantile N/A 6/30/24 USD 4,800 72,2632.62%2 3-month LIBOR Chicago Mercantile N/A 7/01/24 USD 500 6,1322.65%1 3-month LIBOR Chicago Mercantile N/A 7/18/24 USD 2,600 (38,543)2.59%2 3-month LIBOR Chicago Mercantile N/A 7/22/24 USD 2,300 21,3902.62%3 3-month LIBOR Chicago Mercantile N/A 7/24/24 USD 3,100 36,0452.63%3 3-month LIBOR Chicago Mercantile N/A 8/07/24 USD 1,000 12,8592.59%3 3-month LIBOR Chicago Mercantile N/A 8/08/24 USD 1,000 9,1322.59%3 3-month LIBOR Chicago Mercantile N/A 8/08/24 USD 1,000 8,8152.58%3 3-month LIBOR Chicago Mercantile N/A 8/11/24 USD 500 4,151




Centrally cleared interest rate swaps outstanding as of August 31, 2014 were as follows (concluded):

FixedRate


EffectiveDate

ExpirationDate

NotionalAmount(000)


(Depreciation)

2.58%3 3-month LIBOR Chicago Mercantile N/A 8/11/24 USD 500 $ 3,9932.57%3 3-month LIBOR Chicago Mercantile N/A 8/11/24 USD 500 3,3352.57%3 3-month LIBOR Chicago Mercantile N/A 8/11/24 USD 500 3,4032.55%3 3-month LIBOR Chicago Mercantile N/A 8/12/24 USD 500 2,5062.55%3 3-month LIBOR Chicago Mercantile N/A 8/12/24 USD 500 2,5962.56%3 3-month LIBOR Chicago Mercantile N/A 8/22/24 USD 4,300 26,7622.55%3 3-month LIBOR Chicago Mercantile N/A 8/27/24 USD 4,800 22,3722.49%3 3-month LIBOR Chicago Mercantile N/A 9/02/24 USD 500 (2,634)3.19%3 3-month LIBOR Chicago Mercantile 4/22/152 4/22/25 USD 2,400 102,2452.97%3 3-month LIBOR Chicago Mercantile 6/03/152 6/03/25 USD 1,100 21,1793.65%1 3-month LIBOR Chicago Mercantile N/A 2/27/44 USD 2,500 (299,000)3.65%1 3-month LIBOR Chicago Mercantile 4/22/152 4/22/45 USD 1,100 (110,336)3.47%1 3-month LIBOR Chicago Mercantile 6/03/152 6/03/45 USD 500 (29,810)

Total $(358,838)

1 Trust pays the fixed rate and receives the floating rate.2 Forward swap.3 Trust receives the fixed rate and pays the floating rate.

• OTC credit default swaps — buy protection outstanding as of August 31, 2014 were as follows:

Issuer

PayFixedRate Counterparty

ExpirationDate

NotionalAmount(000)

MarketValue

PremiumsPaid


Radian Group, Inc. 5.00% Citibank N.A. 6/20/15 USD 1,400 $(49,098) $ 13,035 $ (62,133)The New York Times Co. 1.00% Barclays Bank PLC 12/20/16 USD 1,800 (19,416) 57,942 (77,358)

Total $(68,514) $ 70,977 $(139,491)


Issuer


ExpirationDate

CreditRating4


MarketValue

PremiumsReceived


MetLife, Inc. 1.00% Morgan Stanley Capital Services LLC 9/20/16 A- USD 910 $ 14,641 $ (30,767) $ 45,408MetLife, Inc. 1.00% Deutsche Bank AG 9/20/16 A- USD 730 11,745 (25,168) 36,913MetLife, Inc. 1.00% Morgan Stanley Capital Services LLC 9/20/16 A- USD 275 4,424 (8,293) 12,717MetLife, Inc. 1.00% Goldman Sachs Bank USA 9/20/16 A- USD 500 8,044 (16,778) 24,822MetLife, Inc. 1.00% Credit Suisse International 9/20/16 A- USD 545 8,768 (20,548) 29,316MetLife, Inc. 1.00% Citibank N.A. 12/20/16 A- USD 298 5,130 (9,981) 15,111MetLife, Inc. 1.00% Citibank N.A. 12/20/16 A- USD 290 4,981 (10,642) 15,623

Total $ 57,733 $(122,177) $ 179,910

4 Using S&P’s rating of the issuer.5 The maximum potential amount the Trust may pay should a negative credit event take place as defined under terms of the agreements.













Assets:Investments:

Long-Term Investments:Asset-Backed Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — $ 17,676,727 $ 8,793,910 $ 26,470,637Corporate Bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 314,189,017 8,787,420 322,976,437Foreign Agency Obligations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 7,456,621 — 7,456,621Municipal Bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 12,786,140 — 12,786,140Non-Agency Mortgage-Backed Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 62,160,814 16 62,160,830Preferred Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 7,059,541 46,519,562 — 53,579,103U.S. Government Sponsored Agency Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 53,967,316 533 53,967,849U.S. Treasury Obligations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 54,746,992 — 54,746,992

Short-Term Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,425,318 — — 3,425,318Options Purchased:

Interest Rate Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 954,199 — 954,199

Total $10,484,859 $570,457,388 $17,581,879 $ 598,524,126



Assets:Credit contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — $ 179,910 — $ 179,910Foreign currency exchange contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 393,776 — 393,776Interest rate contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 181,738 359,178 — 540,916

Liabilities:Credit contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — (139,491) — (139,491)Interest rate contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (116,219) (3,306,352) — (3,422,571)

Total $ 65,519 $ (2,512,979) — $ (2,447,460)

1 Derivative financial instruments are swaps, financial futures contracts, forward foreign currency exchange contracts, and options written. Swaps, financial futures contractsand foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument and options written are shown at value.




Assets:Cash pledged for centrally cleared swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 515,000 — — $ 515,000Cash pledged as collateral for reverse repurchase agreements . . . . . . . . . . . . . . . . . . . . . . . 1,984,142 — — 1,984,142Cash pledged as collateral for OTC derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 590,000 — — 590,000Cash pledged for financial futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 226,000 — — 226,000Foreign currency at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 304,703 — — 304,703

Liabilities:Bank overdraft . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — $ (48,720) — (48,720)Cash received as collateral for reverse repurchase agreements . . . . . . . . . . . . . . . . . . . . . . . — (2,162,000) — (2,162,000)Reverse repurchase agreements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — (171,566,571) — (171,566,571)

Total $ 3,619,845 $(173,777,291) — $(170,157,446)





CommonStocks


CorporateBonds

Non-AgencyMortgage-Backed

Securities

US GovernmentSponsored

Agency Securities TotalAssets:Opening Balance, as of August 31, 2013 . . . . . . . . . . . . . . $ 396,800 $10,488,482 $6,294,250 $25 $ 717 $17,180,274Transfers into Level 3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — — — — —Transfers out of Level 31 . . . . . . . . . . . . . . . . . . . . . . . . . . — (6,442,285) — — — (6,442,285)Accrued discounts/premiums . . . . . . . . . . . . . . . . . . . . . . — (326,626) — — (1) (326,627)Net realized gain . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 430,152 37,567 — — — 467,719Net change in unrealized appreciation/depreciation2,3 . . . . (396,800) 289,291 228,061 (9) (183) 120,360Purchases . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 8,243,356 2,265,109 — — 10,508,465Sales . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (430,152) (3,495,875) — — — (3,926,027)Closing Balance, as of August 31, 2014 — $ 8,793,910 $8,787,420 $16 $ 533 $17,581,879

Net change in unrealized appreciation/depreciation oninvestments held as of August 31, 20143 . . . . . . . . . . . . — $ 284,059 $ 228,061 $ (9) $(183) $ 511,928

1 As of August 31, 2013, the Trust used significant unobservable inputs in determining the value of certain investments. As of August 31, 2014, the Trust used observableinputs in determining the value of the same investments. As a result, investments with a beginning of period value of $6,442,285 transferred from Level 3 to Level 2 in thedisclosure hierarchy.


2014 is generally due to investments no longer held or categorized as level 3 at period end.

The Trust’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs.A significant change in third party information inputs could result in a significantly lower or higher value of such Level 3 investments.

Schedule of Investments (concluded) BlackRock Income Opportunity Trust, Inc. (BNA)




(000) Value

Asset Backed Securities — 0.8%First Franklin Mortgage Loan Trust,

Series 2005-FF2, Class M2,0.82%, 3/25/35 (a) $ 1,600 $ 1,598,261

Securitized Asset Backed Receivables LLC Trust,Series 2005-OP2, Class M1,0.59%, 10/25/35 (a) 1,875 1,636,687

Small Business Administration ParticipationCertificates, Class 1:

Series 1996-20E, 7.60%, 5/01/16 41 42,525Series 1996-20G, 7.70%, 7/01/16 40 41,645Series 1996-20H, 7.25%, 8/01/16 47 48,339Series 1996-20K, 6.95%, 11/01/16 134 139,480Series 1997-20C, 7.15%, 3/01/17 51 53,476

3,560,413

Interest Only Asset Backed Securities — 0.1%Small Business Administration, Series 2000-1,

1.00%, 4/01/15 603 5,275Sterling Bank Trust, Series 2004-2, Class Note,

2.08%, 3/30/30 (b) 2,704 196,016Sterling Coofs Trust, Series 2004-1, Class A,

2.00%, 4/15/29 (b) 6,190 425,581

626,872


Non-Agency Mortgage-Backed Securities

Collateralized Mortgage Obligations — 1.0%Collateralized Mortgage Obligation Trust,

Series 40, Class R, 580.48%, 4/01/18 34 35Deutsche Securities, Inc. Mortgage Alternate Loan

Trust, Series 2006-AR5, Class 22A,5.50%, 10/25/21 433 424,399

Homebanc Mortgage Trust, Series 2005-4,Class A1, 0.43%, 10/25/35 (a) 2,367 2,125,706

Kidder Peabody Acceptance Corp.,Series 1993-1, Class A6, 16.33%,8/25/23 (a) 44 49,217

Residential Funding Securities LLC,Series 2003-RM2, Class AI5, 8.50%, 5/25/33 892 944,903

Structured Adjustable Rate Mortgage Loan Trust,Series 2004-11, Class A, 2.53%, 8/25/34 (a) 1,039 1,040,706

4,584,966

Commercial Mortgage-Backed Securities — 0.5%Credit Suisse Commercial Mortgage Trust,

Series 2007-C2, Class A3,5.54%, 1/15/49 (a) 2,420 2,626,559

Interest Only Collateralized Mortgage Obligations — 0.7%Bank of America Mortgage Securities, Inc.,

Series 2003-3, Class 1A, 0.00%, 5/25/33 (a) 25,607 240,012CitiMortgage Alternative Loan Trust,

Series 2007-A5, Class 1A7, 6.00%, 5/25/37 643 160,321First Boston Mortgage Securities Corp., Series C,

10.97%, 4/25/17 5 321GSMPS Mortgage Loan Trust, Series 1998-5,

0.00%, 6/19/27 (a)(b) 2,959 30IndyMac INDX Mortgage Loan Trust,

Series 2006-AR33, Class 4AX,0.17%, 1/25/37 66,451 172,173

MASTR Adjustable Rate Mortgages Trust,Series 2004-3, Class 3AX, 0.98%, 4/25/34 (c) 7,398 82,074

MASTR Alternative Loans Trust, Series 2003-9,Class 15X2, 6.00%, 1/25/19 228 28,695


(000) Value

Interest Only Collateralized Mortgage Obligations (concluded)Morgan Stanley Mortgage Loan Trust,

Series 2004-3, Class 1AX, 5.00%, 5/25/19 $ 226 $ 15,653Sequoia Mortgage Trust, Series 2005-2, Class XA,

0.00%, 3/20/35 (a) 34,199 550,389Structured Adjustable Rate Mortgage Loan Trust,

Series 2006-7, Class 3AS,4.70%, 8/25/36 (a) 17,034 2,076,051

Vendee Mortgage Trust, Series 1999-2, Class 1,0.00%, 5/15/29 (a) 37,576 38

3,325,757

Principal Only Collateralized Mortgage Obligations — 0.2%Countrywide Home Loan Mortgage Pass-Through

Trust (d):Series 2003-J5, 0.00%, 7/25/33 202 179,334Series 2003-J8, 0.00%, 9/25/23 121 108,358

Drexel Burnham Lambert CMO Trust, Class 1 (d):Series K, 0.00%, 9/23/17 3 2,661Series V, 0.00%, 9/01/18 3 3,018

Residential Asset Securitization Trust,Series 2005-A15, Class 1A8,0.00%, 2/25/36 (d) 515 340,438

Structured Mortgage Asset Residential Trust,Series 1993-3C, Class CX, 0.00%, 4/25/24 (d) 6 5,291

Washington Mutual Alternative MortgagePass-Through Certificates, Series 2005-9,Class CP, 0.00%, 11/25/35 (d) 222 156,689

795,789

Total Non-Agency Mortgage-Backed Securities — 2.4% 11,333,071

U.S. Government Sponsored Agency Securities

Agency Obligations — 2.5%Federal Housing Administration:

USGI Projects, Series 99,7.43%, 6/01/21–10/01/23 3,590 3,491,131

Reilly Projects, Series 41, 8.28%, 3/01/20 122 120,396Resolution Funding Corp., 0.00%, 4/15/30 (d) 13,000 7,885,150

11,496,677

Collateralized Mortgage Obligations — 63.1%Fannie Mae Mortgage-Backed Securities:

Series 2014-28, Class BD,3.50%, 1/25/42–8/25/43 24,285 25,194,360

Series 2011-117, Class CP,4.00%, 12/25/40–11/25/41 17,410 18,993,586

Series 2011-99, Class CB, 4.50%, 10/25/41 43,000 48,350,232Series 2010-47, Class JB, 5.00%, 5/25/30 10,000 11,244,100Series 2003-135, Class PB, 6.00%, 1/25/34 12,264 13,757,449Series 2004-31, Class ZG, 7.50%, 5/25/34 3,969 4,610,998Series 1993-247, Class SN,

10.00%, 12/25/23 (a) 191 234,620Series 2005-73, Class DS,

17.15%, 8/25/35 (a) 1,419 1,772,474Series 1991-87, Class S,

26.27%, 8/25/21 (a) 22 32,131Series G-49, Class S,

1,018.68%, 12/25/21 (a) —(e) 613Series G-17, Class S,

1,064.92%, 6/25/21 (a) 105 1,647Series G-33, Class PV,

1,078.42%, 10/25/21 106 1,048Series G-07, Class S,

1,127.09%, 3/25/21 (a) —(e) 1,809Series 1991-46, Class S,

2,483.51%, 5/25/21 (a) 55 3,347

Schedule of Investments August 31, 2014 BlackRock Income Trust, Inc. (BKT)(Percentages shown are based on Net Assets)




(000) Value

Collateralized Mortgage Obligations (concluded)Freddie Mac Mortgage-Backed Securities:

Series T-11, Class A9, 2.87%, 1/25/28 (a) $ 1,403 $ 1,447,887Series 4242, Class PA, 3.50%, 5/15/41 9,109 9,540,411Series 4016, Class BX,

4.00%, 11/15/40–9/15/41 26,292 27,779,550Series 4316, Class VB,

4.50%, 8/15/32–3/15/34 20,787 23,135,875Series 3856, Class PB, 5.00%, 5/15/41 10,000 11,624,290Series 2927, Class BZ,

5.50%, 5/15/23–2/15/35 11,076 12,163,196Series 2542, Class UC, 6.00%, 12/15/22 3,266 3,606,946Series 0040, Class K, 6.50%, 8/17/24 187 210,787Series 2218, Class Z,

8.50%, 3/15/20–3/15/30 3,112 3,657,807Series 0173, Class R, 9.00%, 11/15/21 7 7Series 0173, Class RS, 9.34%, 11/15/21 (a) —(e) 7Series 0075, Class R, 9.50%, 1/15/21 —(e) 1Series 2861, Class AX, 10.57%, 9/15/34 (a) 51 54,099Series 1160, Class F, 39.50%, 10/15/21 (a) 11 20,973Series 0075, Class RS, 50.25%, 1/15/21 (a) —(e) 1Series 1057, Class J, 1,008.00%, 3/15/21 43 584Series 0192, Class U,

1,009.03%, 2/15/22 (a) 1 23Series 0019, Class R,

16,324.45%, 3/15/20 (a) 3 447Ginnie Mae Mortgage-Backed Securities:

Series 2010-099, Class JM,3.75%, 12/20/38 19,300 20,154,295

Series 2011-88, Class PY,4.00%, 1/20/39–6/20/41 51,891 54,908,163

Series 2004-89, Class PE, 6.00%, 10/20/34 679 716,320Series 1996-5, Class Z, 7.00%, 5/16/26 307 343,897

293,563,980


Series 1997-50, Class SI,1.20%, 4/25/23 (a) 176 5,606

Series G92-60, Class SB,1.60%, 10/25/22 (a) 114 3,997

Series 2013-45, Class EI,4.00%, 2/25/27–4/25/43 24,799 3,243,298

Series 2010-74, Class DI, 5.00%, 12/25/39 12,454 1,137,288Series 1997-90, Class M, 6.00%, 1/25/28 2,554 457,468Series 1999-W4, 6.50%, 12/25/28 170 27,966Series 2011-124, Class GS,

6.55%, 3/25/37 (a) 16,672 2,334,914Series 1993-199, Class SB,

7.22%, 10/25/23 (a) 203 16,534Series 089, Class 2, 8.00%, 10/25/18 3 234Series 007, Class 2, 8.50%, 4/25/17 2 166Series G92-05, Class H, 9.00%, 1/25/22 27 2,469Series 094, Class 2, 9.50%, 8/25/21 1 271Series 1990-136, Class S,

19.92%, 11/25/20 (a) 6,843 9,599Series 1991-139, Class PT,

648.35%, 10/25/21 118 1,211Series 1991-099, Class L,

930.00%, 8/25/21 51 652Series 1990-123, Class M,

1,009.50%, 10/25/20 11 152Series G92-12, Class C,

1,016.90%, 2/25/22 101 1,030Series G-10, Class S,

1,090.36%, 5/25/21 (a) 288 7,031Series G-12, Class S,

1,157.49%, 5/25/21 (a) 205 4,074


(000) Value

Interest Only Collateralized Mortgage Obligations (concluded)Freddie Mac Mortgage-Backed Securities:

Series 2559, 0.50%, 8/15/30 (a) $ 79 $ 968Series 3744, Class PI,

4.00%, 1/15/35–6/15/39 42,473 4,722,955Series 4026, 4.50%, 4/15/32 5,107 880,171Series 2611, Class QI, 5.50%, 9/15/32 1,512 164,035Series 1043, Class H, 44.31%, 2/15/21 (a) 5,199 10,156Series 1054, Class I, 868.03%, 3/15/21 (a) 40 738Series 0176, Class M, 1,010.00%, 7/15/21 17 316Series 1056, Class KD, 1,084.50%, 3/15/21 28 452Series 1148, Class E,

1,178.74%, 10/15/21 (a) 77 1,372Series 0200, Class R,

198,052.81%, 12/15/22 (a) 1 682Ginnie Mae Mortgage-Backed Securities (a):

Series 2009-116, Class KS,6.32%, 12/16/39 2,756 427,784

Series 2011-52, Class MJ, 6.49%, 4/20/41 15,479 3,078,266Series 2011-52, Class NS, 6.52%, 4/16/41 17,234 3,161,893


3.00%, 1/01/43 (f) 28,523 28,482,8533.50%, 10/01/42–9/01/44 (f)(g) 35,277 36,351,6384.00%, 1/01/41–9/01/42 (f) 33,413 35,455,6714.50%, 8/01/25–9/01/44 (f)(g) 98,139 106,990,2825.00%, 1/01/23–9/01/44 (f)(g) 77,766 86,183,8405.50%, 9/01/29–10/01/39 (f)(g) 37,743 41,578,9395.97%, 8/01/16 2,931 3,155,4176.00%, 9/01/44–10/01/44 (g) 43,600 49,128,3436.50%, 12/01/37–10/01/39 (f) 11,303 12,788,8547.50%, 2/01/22 —(e) 639.50%, 1/01/19–9/01/19 2 1,873

Freddie Mac Mortgage-Backed Securities:2.48%, 1/01/35 (a) 184 186,5582.51%, 11/01/17 (a) 8 8,3682.55%, 10/01/34 (a) 200 200,2895.00%, 2/01/22–4/01/22 335 363,8129.00%, 9/01/20 19 20,685

Ginnie Mae Mortgage-Backed Securities:7.50%, 8/15/21–12/15/23 119 125,7528.00%, 10/15/22–8/15/27 52 56,3229.00%, 4/15/20–9/15/21 4 4,415

401,083,974Principal Only Collateralized Mortgage Obligations — 0.3%Fannie Mae Mortgage-Backed Securities (d):

Series 1999-W4, 0.00%, 2/25/29 94 86,346Series 2002-13, Class PR,

0.00%, 2/25/21–3/25/32 346 326,394Freddie Mac Mortgage-Backed Securities,

0.00%, 11/15/22–11/15/28 (d) 822 768,398

1,181,138Total U.S. Government Sponsored Agency Securities — 156.4% 727,029,517

U.S. Treasury Obligations

U.S. Treasury Notes:1.63%, 8/31/19 (h) 4,780 4,779,2541.00%, 11/30/19 (f) 2,965 2,858,6781.63%, 11/15/22 780 746,6072.50%, 5/15/24 1,440 1,460,588



Schedule of Investments (continued) BlackRock Income Trust, Inc. (BKT)(Percentages shown are based on Net Assets)



Short-Term Securities Shares Value

Money Market Funds — 1.7%BlackRock Liquidity Funds, TempFund,

Institutional Class, 0.03% (i)(j) 8,012,499 $ 8,012,499

Par(000)

Borrowed Bond Agreement — 0.2%Credit Suisse Securities (USA) LLC, 0.06%, Open

(Purchased on 7/23/14 to be repurchased at$837,054, collateralized by U.S. TreasuryBonds, 2.75%, par and fair values of $917,000and $859,687, respectively) $ 837 837,000


Total Investments Before Borrowed Bonds andTBA Sale Commitments(Cost — $756,225,580) — 163.7% 761,244,499

Borrowed BondsPar

(000) Value

U.S. Treasury Bonds, 2.75%, 11/15/42 $ 917 $ (859,687)

Total Borrowed Bonds(Proceeds — $842,347) — (0.2)% (859,687)

TBA Sale Commitments (g)

Fannie Mae Mortgage-Backed Securities:4.50%, 9/01/29 4,700 (4,966,395)5.00%, 9/01/29 — 10/01/44 26,100 (28,742,926)6.00%, 9/01/44 21,800 (24,586,312)

Total TBA Sale Commitments(Proceeds — $58,228,891) — (12.5)% (58,295,633)

Total Investments, Net of Borrowed Bonds andTBA Sale Commitments — 151.0% 702,089,179Liabilities in Excess of Other Assets — (51.0)% (237,156,666)

Net Assets — 100.0% $ 464,932,513


(a) Variable rate security. Rate shown is as of report date.

(b) Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration toqualified institutional investors.

(c) Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date.

(d) Zero-coupon bond.

(e) Amount is less than $500.

(f) All or a portion of security has been pledged as collateral in connection with outstanding reverse repurchase agreements.

(g) Represents or includes a TBA transaction. Unsettled TBA transactions as of August 31, 2014 were as follows:

Counterparty Value

UnrealizedAppreciation/(Depreciation)

Credit Suisse Securities (USA) LLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $21,789,416 $138,229Deutsche Bank Securities, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 7,075,105 $ (1,653)Goldman Sachs & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,303,031 $ 7,594J.P. Morgan Securities LLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,322,203 $ 5,074

(h) When-issued security. Unsettled when-issued transactions were as follows:


Appreciation

J.P. Morgan Securities LLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $4,779,254 $7,097

(i) Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2014, for purposes of Section 2(a)(3) of the 1940 Act were as follows:

Affiliate

SharesHeld at

August 31, 2013Net

Activity

SharesHeld at


BlackRock Liquidity Funds, TempFund, Institutional Class . . . . . . . . . . . . . . . . . . . . . 14,996,794 (6,984,295) 8,012,499 $3,704

(j) Represents the current yield as of report date.



RateTradeDate



Credit Suisse Securities (USA) LLC 0.15% 12/10/13 Open $ 17,914,714 $ 17,929,673BNP Paribas Securities Corp. 0.09% 7/07/14 Open 2,831,575 2,831,964Credit Suisse Securities (USA) LLC 0.14% 8/12/14 9/11/14 153,535,000 153,546,942Credit Suisse Securities (USA) LLC 0.14% 8/12/14 9/11/14 31,104,000 31,106,419Total $205,385,289 $205,414,998


Schedule of Investments (continued) BlackRock Income Trust, Inc. (BKT)(Percentages shown are based on Net Assets)




ContractsSold Issue Exchange Expiration

NotionalValue


(Depreciation)

(41) 90-Day Euro-Dollar Chicago Mercantile September 2014 $10,225,913 $ (42,315)(164) 2-Year U.S. Treasury Note Chicago Board of Trade December 2014 $35,923,688 (20,277)

(52) 5-Year U.S. Treasury Note Chicago Board of Trade December 2014 $ 6,179,469 (7,747)(200) 10-Year U.S. Treasury Note Chicago Board of Trade December 2014 $25,156,250 (6,433)(641) Long U.S. Treasury Bond Chicago Board of Trade December 2014 $89,800,094 (601,120)

(85) Ultra Long U.S. Treasury Bond Chicago Board of Trade December 2014 $13,217,500 (101,721)(41) 90-Day Euro-Dollar Chicago Mercantile December 2014 $10,223,862 (48,196)(41) 90-Day Euro-Dollar Chicago Mercantile March 2015 $10,213,612 (43,759)(12) 90-Day Euro-Dollar Chicago Mercantile June 2015 $ 2,983,800 (2,123)(12) 90-Day Euro-Dollar Chicago Mercantile December 2015 $ 2,970,150 4,927(12) 90-Day Euro-Dollar Chicago Mercantile March 2016 $ 2,962,800 8,302

Total $ (860,462)


FixedRate


ExpirationDate

NotionalAmount(000)


0.46%1 3-month LIBOR Chicago Mercantile 6/11/15 $100 $ 141

• OTC interest rate swaps outstanding as of August 31, 2014 were as follows:

FixedRate

FloatingRate Counterparty

ExpirationDate

NotionalAmount(000)

MarketValue

PremiumsReceived


(Depreciation)

4.88%1 3-month LIBOR UBS AG 3/21/15 USD 25,000 $ 626,334 — $ 626,3344.87%1 3-month LIBOR Goldman Sachs Bank USA 1/25/16 USD 5,500 335,111 — 335,1112.81%1 3-month LIBOR Citibank N.A. 2/06/16 USD 20,000 661,695 — 661,6955.72%1 3-month LIBOR JPMorgan Chase Bank N.A. 7/14/16 USD 5,400 506,017 — 506,0174.31%2 3-month LIBOR Deutsche Bank AG 10/01/18 USD 60,000 (6,648,452) — (6,648,452)3.43%1 3-month LIBOR JPMorgan Chase Bank N.A. 3/28/21 USD 6,000 502,799 $(183,998) 686,7975.41%1 3-month LIBOR JPMorgan Chase Bank N.A. 8/15/22 USD 9,565 2,216,240 — 2,216,240

Total $(1,800,256) $(183,998) $(1,616,258)

1 Trust pays the floating rate and receives the fixed rate.2 Trust pays the fixed rate and receives the floating rate.








Schedule of Investments (continued) BlackRock Income Trust, Inc. (BKT)





Assets:Investments:

Long-Term Investments:Asset-Backed Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — $ 3,560,413 $ 626,872 $ 4,187,285Non-Agency Mortgage-Backed Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 8,624,522 2,708,549 11,333,071U.S. Government Sponsored Agency Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 723,416,845 3,612,672 727,029,517U.S. Treasury Obligations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 9,845,127 — 9,845,127

Short-Term Securities:Money Market Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 8,012,499 — — 8,012,499Borrowed Bond Agreement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 837,000 — 837,000

Liabilities:Investments:

Borrowed Bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — (859,687) — (859,687)TBA Sale Commitments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — (58,295,633) — (58,295,633)

Total $ 8,012,499 $ 687,128,587 $6,948,093 $ 702,089,179



Assets:Interest rate contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 13,229 $ 5,032,335 — $ 5,045,564

Liabilities:Interest rate contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (873,691) (6,648,452) — $ (7,522,143)

Total $ (860,462) $ (1,616,117) — $ (2,476,579)

1 Derivative financial instruments are swaps and financial futures contracts, which are valued at the unrealized appreciation/depreciation on the instrument.




Assets:Cash pledged as collateral for OTC derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 7,700,000 — — $ 7,700,000Cash pledged as collateral for reverse repurchase agreements . . . . . . . . . . . . . . . . . . . . . . . 173,000 — — 173,000Cash pledged for financial futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,009,000 — — 2,009,000Cash pledged for centrally cleared swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,000 — — 10,000

Liabilities:Bank overdraft . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — $ (79) — $ (79)Cash received as collateral for OTC derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — (5,260,000) — (5,260,000)Reverse repurchase agreements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — (205,414,998) — (205,414,998)

Total $ 9,892,000 $(210,675,077) — $(200,783,077)

Schedule of Investments (continued) BlackRock Income Trust, Inc. (BKT)





Non-AgencyMortgage-Backed

Securities

US GovernmentSponsored Agency

Securities Total

Assets:Opening Balance, as of August 31, 2013 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 695,051 $2,808,305 $ 7,314,558 $10,817,914Transfers into Level 3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — — —Transfers out of Level 31 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — (3,143,245) (3,143,245)Accrued discounts/premiums . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (371,145) — (13,012) (384,157)Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 10 (16,767) (16,757)Net change in unrealized appreciation/depreciation2,3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 302,966 (99,756) 16,958 220,168Purchases . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — — —Sales . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — (10) (545,822) (545,832)

Closing Balance, as of August 31, 2014 $ 626,872 $2,708,549 $ 3,612,672 $ 6,948,093

Net change in unrealized appreciation/depreciation on investments held as ofAugust 31, 20143 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 302,966 $ (99,756) $ 16,958 $ 220,168

1 As of August 31, 2013, the Trust used significant unobservable inputs in determining the value of certain investments. As of August 31, 2014, the Fund used observableinputs in determining the value of the same investments. As a result, investments with a beginning of period value of $3,143,245 transferred from Level 3 to Level 2 in thedisclosure hierarchy.


2014 is generally due to investments no longer held or categorized as level 3 at period end.

Certain of the Trust’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based onunobservable inputs. A significant change in third party information inputs could result in a significantly lower or higher value of such Level 3 investments.

Schedule of Investments (concluded) BlackRock Income Trust, Inc. (BKT)



August 31, 2014

BlackRockCore Bond

Trust(BHK)

BlackRockCorporateHigh YieldFund, Inc.

(HYT)*

BlackRockIncome

OpportunityTrust, Inc.

(BNA)

BlackRockIncome

Trust, Inc.(BKT)

Assets

Investments at value — unaffiliated1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 596,447,752 $2,383,983,860 $ 595,098,808 $ 753,232,000Investments at value — affiliated2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 742,474 3,602,081 3,425,318 8,012,499Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38,897 — — —Cash pledged for financial futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 122,000 3,198,000 226,000 2,009,000Cash pledged as collateral for reverse repurchase agreements . . . . . . . . . . . . . . . . . . — — 1,984,142 173,000Cash pledged as collateral for OTC derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,200,000 1,970,000 590,000 7,700,000Cash pledged for centrally cleared swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 516,000 — 515,000 10,000Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,452,194 33,200,680 6,565,872 2,657,275TBA sale commitments receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — — 58,228,891Investments sold receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 177,530 17,388,648 522,868 102,629Unrealized appreciation on OTC derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 178,514 2,657,749 179,910 5,032,194Dividends receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,711 98,107 13,711 —Swaps receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,521 202,777 6,335 812,964Swap premiums paid . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 70,996 156,624 70,977 —Variation margin receivable on financial futures contracts . . . . . . . . . . . . . . . . . . . . . 20,000 — 18,125 156,594Unrealized appreciation on forward foreign currency exchange contracts . . . . . . . . . . 395,247 7,247,593 393,776 —Principal paydowns receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — — 35,506Foreign currency at value3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,884 529,079 304,703 —Variation margin receivable on centrally cleared swaps . . . . . . . . . . . . . . . . . . . . . . . — — — 20Deferred offering costs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 115,121 — —Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,068 29,658 7,031 10,927

Total assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 606,404,788 2,454,379,977 609,922,576 838,173,499

Liabilities

Bank overdraft . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 224,629 48,720 79Cash received as collateral for reverse repurchase agreements . . . . . . . . . . . . . . . . . 2,378,000 — 2,162,000 —Cash received as collateral for OTC derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 2,700,000 — 5,260,000Borrowed bonds at value4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — — 859,687Options written at value5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,580,908 — 2,588,336 —Bank borrowings payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 723,000,000 — —Reverse repurchase agreements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 168,300,777 — 171,566,571 205,414,998Investments purchased payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,789,437 18,869,689 21,936,026 94,483,764TBA sale commitments at value6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — — 58,295,633Unrealized depreciation on OTC derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 139,535 — 139,491 6,648,452Swap premiums received . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 121,185 368,840 122,177 183,998Unrealized depreciation on forward foreign currency exchange contracts . . . . . . . . . . 5,496 304,747 — —Investment advisory fees payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 252,975 1,228,637 206,443 256,171Swaps payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,099 — 18,097 1,127,872Interest expense payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 558,092 — 17,393Officer’s and Trustees fees payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62,798 403,461 139,422 154,203Income dividends payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50,924 437,048 70,420 65,466Variation margin payable on financial futures contracts . . . . . . . . . . . . . . . . . . . . . . . 40,558 155,496 51,432 13,606Variation margin payable on centrally cleared swaps . . . . . . . . . . . . . . . . . . . . . . . . . 3,203 — 1,758 —Administration fees payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — 34,455 59,239Reorganization costs payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 180,616 13,125 77,383 222,279Offering costs payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 144,142 — —Other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 240,760 — 101,591 —Other accrued expenses payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 161,105 549,971 155,693 178,146

Total liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 194,326,376 748,957,877 199,420,015 373,240,986

Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 412,078,412 $1,705,422,100 $ 410,502,561 $ 464,932,5131 Investments at cost — unaffiliated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 560,291,925 $2,320,027,105 $ 559,275,271 $ 748,213,0812 Investments at cost — affiliated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 742,474 $ 3,602,081 $ 3,425,318 $ 8,012,4993 Foreign currency at cost . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 13,065 $ 531,034 $ 307,617 —4 Proceeds received from borrowed bonds. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — — $ 842,3475 Premiums received. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 3,343,622 $ — $ 3,351,152 —6 Proceeds from TBA sale commitments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — — $ 58,228,891

Statements of Assets and Liabilities



August 31, 2014

BlackRockCore Bond

Trust(BHK)


(HYT)*

BlackRockIncome


(BNA)

BlackRockIncome

Trust, Inc.(BKT)

Net Assets Consist of

Paid-in capital7,8,9. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 378,734,616 $1,788,506,929 $ 385,469,263 $ 478,274,443Undistributed net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,988,893 1,526,183 2,921,368 9,245,640Accumulated net realized loss . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (6,665,710) (157,363,092) (14,609,287) (25,045,827)Net unrealized appreciation/depreciation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37,020,613 72,752,080 36,721,217 2,458,257

Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 412,078,412 $1,705,422,100 $ 410,502,561 $ 464,932,513

Net asset value per share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 15.24 $ 13.47 $ 11.91 $ 7.277 Par Value. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 0.001 $ 0.100 $ 0.010 $ 0.0108 Shares outstanding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27,041,847 126,599,668 34,456,370 63,942,5359 Shares authorized . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . unlimited 200 million 200 million 200 million

* Consolidated Statement of Assets and Liabilities

Statements of Assets and Liabilities (concluded)



Year Ended August 31, 2014

BlackRockCore Bond

Trust(BHK)


(HYT)1

BlackRockIncome


(BNA)

BlackRockIncome

Trust, Inc.(BKT)

Investment Income

Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 27,122,967 $121,549,309 $ 26,967,255 $ 26,885,874Dividends — unaffiliated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 308,188 2,880,665 310,486 —Dividends — affiliated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,865 987 1,754 3,704

Total income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27,433,020 124,430,961 27,279,495 26,889,578

Expenses

Investment advisory . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,100,274 12,173,549 2,353,384 3,033,540Administration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — 392,231 700,048Professional . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 118,462 340,094 94,161 86,488Transfer agent . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56,173 220,351 63,657 110,593Custodian . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46,807 272,008 48,052 53,307Accounting services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58,279 194,538 58,010 67,315Officer and Trustees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44,767 189,644 55,589 65,385Reorganization . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 226,142 62,381 377,383 267,805Printing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,029 39,487 18,984 20,373Registration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,010 33,224 11,456 21,191Offering . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 29,671 — —Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85,119 258,408 77,828 52,115

Total expenses excluding interest expense and income tax . . . . . . . . . . . . . . . . . . . . . 3,764,062 13,813,355 3,550,735 4,478,160Interest expense . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 410,344 5,305,355 420,378 302,522Income tax . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 65,185 — —

Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,174,406 19,183,895 3,971,113 4,780,682Less fees paid indirectly . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (24) (300) (190) (109)Less fees waived by Manager . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (172,812) (1,724) (3,720) (7,128)Less reorganization costs reimbursed by Manager . . . . . . . . . . . . . . . . . . . . . . . . . . . — — (300,000) —

Total expenses after fees waived . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,001,570 19,181,871 3,667,203 4,773,445

Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,431,450 105,249,090 23,612,292 22,116,133

Realized and Unrealized Gain (Loss)

Net realized gain (loss) from:Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,820,509 58,972,474 4,214,581 1,490,649Litigation proceeds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 332,281 8,518 46,780 —Financial futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,224,968 (3,219,276) 1,403,516 (11,396,693)Foreign currency transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,158,403) (3,086,490) (1,284,711) —Options written . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 522,931 191,073 524,192 —Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,490,123) (7,879,332) (1,443,580) 503,189

3,252,163 44,986,967 3,460,778 (9,402,855)

Net change in unrealized appreciation/depreciation on:Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,187,619 24,844,722 29,388,333 12,701,073Financial futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (195,226) (10,931) (153,120) 157,699Foreign currency translations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 461,808 5,205,406 507,997 —Options written . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,293,405 24,288 1,296,453 —Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (765,497) 1,770,558 (813,520) (865,533)Borrowed bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — — (98,864)Unfunded floating rate loan interests . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — (12,443) — —

29,982,109 31,821,600 30,226,143 11,894,375

Net realized and unrealized gain . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33,234,272 76,808,567 33,686,921 2,491,520

Net Increase in Net Assets Resulting from Operations . . . . . . . . . . . . . . . . . . . . . . $ 56,665,722 $182,057,657 $ 57,299,213 $ 24,607,653

1 Consolidated Statement of Operations.

Statements of Operations



BlackRockCore Bond Trust (BHK)

Year Ended August 31,

Increase (Decrease) in Net Assets: 2014 2013

Operations

Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 23,431,450 $ 24,077,362Net realized gain . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,252,163 1,698,305Net change in unrealized appreciation/depreciation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,982,109 (31,803,836)

Net increase (decrease) in net assets resulting from operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56,665,722 (6,028,169)

Dividends to Shareholders From1

Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (24,499,913) (25,416,860)

Capital Share Transactions

Reinvestment of dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 221,789

Net Assets

Total increase (decrease) in net assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32,165,809 (31,223,240)Beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 379,912,603 411,135,843

End of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 412,078,412 $ 379,912,603

Undistributed net investment income, end of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,988,893 $ 5,180,547

Consolidated Statements of Changes in Net AssetsBlackRock Corporate

High Yield Fund Inc. (HYT)



Operations


Net increase in net assets resulting from operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 182,057,657 49,586,909



Capital Share Transactions

Net proceeds from the issuance of shares due to reorganization . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,178,342,562 —Reinvestment of dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 499,916

Net increase in net assets derived from capital share transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,178,342,562 499,916

Net Assets

Total increase in net assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,258,575,500 10,891,577Beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 446,846,600 435,955,023

End of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,705,422,100 $ 446,846,600


1 Dividends for annual periods determined in accordance with federal income tax regulations.

Statements of Changes in Net Assets



BlackRock IncomeOpportunity Trust, Inc. (BNA)



Operations





Net Assets

Total increase (decrease) in net assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32,697,363 (30,263,176)Beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 377,805,198 408,068,374

End of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 410,502,561 $ 377,805,198


BlackRockIncome Trust, Inc. (BKT)



Operations

Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 22,116,133 $ 20,368,194Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (9,402,855) 516,801Net change in unrealized appreciation/depreciation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,894,375 (30,160,300)




Net Assets

Total decrease in net assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (3,015,526) (39,903,781)Beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 467,948,039 507,851,820

End of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 464,932,513 $ 467,948,039


1 Dividends for annual periods determined in accordance with federal income tax regulations.

Statements of Changes in Net Assets




BlackRockCore Bond

Trust(BHK)


(HYT)1

BlackRockIncome


(BNA)

BlackRockIncome Trust,

Inc.(BKT)

Cash Provided by Operating Activities

Net increase in net assets resulting from operations . . . . . . . . . . . . . . . . . . . . . . . . . . $ 56,665,722 $ 182,057,657 $ 57,299,213 $ 24,607,653Adjustments to reconcile net increase in net assets resulting from operations

to net cash provided by operating activities:(Increase) decrease in interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (30,919) (703,126)2 (294,338) 63,953(Increase) decrease in swaps receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,680 (75,734) 6,901 13,683Decrease in other assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,378 — 96,026 16,208(Increase) decrease in prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,561 (20,508)2 5,672 4,713(Increase) decrease in dividends receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (13,711) 54,0812 (13,711) —(Increase) decrease in variation margin receivable on financial futures contracts. . 167,771 2,015 181,121 (156,594)(Increase) decrease in variation margin receivable on centrally cleared swaps. . . . 12,768 — 12,678 (20)(Increase) decrease in cash pledged as collateral for financial futures contracts . . 165,000 (2,452,000)2 227,000 388,000Increase in cash pledged as collateral for centrally cleared swaps . . . . . . . . . . . . (96,000) — (95,000) —Increase in cash pledged as collateral for OTC derivatives. . . . . . . . . . . . . . . . . . . (510,000) (770,000) (20,000) (4,800,000)Decrease in cash pledged for reverse repurchase agreements. . . . . . . . . . . . . . . . 5,147,000 — 5,938,858 1,887,000(Increase) decrease in swaps premiums paid . . . . . . . . . . . . . . . . . . . . . . . . . . . . 112,245 (57,867)2 41,242 —Increase (decrease) in investment advisory fees payable . . . . . . . . . . . . . . . . . . . 8,010 (483,334)2 14,323 (1,780)Increase (decrease) in interest expense payable. . . . . . . . . . . . . . . . . . . . . . . . . . (21,848) (187,946)2 83,898 (6,722)Increase (decrease) in other accrued expenses payable . . . . . . . . . . . . . . . . . . . . 4,616 (165,690)2 2,444 18,698Increase (decrease) in variation margin payable on financial futures contracts . . . 40,558 155,4962 51,432 (226,600)Increase (decrease) in variation margin payable on centrally cleared swaps . . . . . 3,203 — 1,758 (12)Decrease in swaps payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (19,643) (3,202) (20,545) (11,704)Decrease in swaps premium received. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (57,765) (5,210,403)2 (58,183) (27,779)Increase in Officer’s and Trustees’ fees payable . . . . . . . . . . . . . . . . . . . . . . . . . . 7,613 272,8822 35,416 41,252Decrease in other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — (457,953) (777,755) —Increase (decrease) in reorganization costs payable . . . . . . . . . . . . . . . . . . . . . . . 180,616 13,1252 77,383 222,279Increase (decrease) in administration fees payable . . . . . . . . . . . . . . . . . . . . . . . — — 2,366 (558)Increase in cash received as collateral for reverse repurchase agreements . . . . . . 2,378,000 — 2,162,000 —Increase (decrease) in cash received as collateral for over the counter swaps . . . . (1,400,000) 200,000 (1,500,000) 740,000

Net realized gain on investments and written options . . . . . . . . . . . . . . . . . . . . . . . . . (3,238,825) (51,356,670) (3,510,291) (16,048)Net unrealized gain on investments, swaps and foreign

currency translation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (30,562,253) (31,832,531) (30,859,938) (11,842,664)Amortization of premium and accretion of discount on investments. . . . . . . . . . . . . . . 3,243,278 2,132,662 3,471,683 7,165,810Premiums received from options written . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,119,437 814,307 5,133,210 —Proceeds from sales and principal paydowns of long-term investments . . . . . . . . . . . . 468,282,943 1,254,120,3782 457,271,613 1,869,423,066Purchases of long-term investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (479,287,857) (1,267,592,400)2 (470,884,125) (1,923,902,877)Net proceeds from sales of short-term securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,593,017 12,063,4212 3,479,620 6,994,374Premiums (paid) received on closing options written . . . . . . . . . . . . . . . . . . . . . . . . . (2,054,956) (1,056,096) (2,061,900) —

Net cash provided by operating activities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28,879,639 89,460,564 25,500,071 (29,406,669)

Cash Used for Financing Activities

Proceeds from bank borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 619,000,000 — —Payments on bank borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — (609,000,000) — —Payments for offering costs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — (650) — —Amortization of deferred offering costs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 29,671 — —Net borrowing of reverse repurchase agreements . . . . . . . . . . . . . . . . . . . . . . . . . . . . (4,214,736) — (723,585) 57,070,372Cash dividends paid to shareholders . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (24,507,270) (101,838,846) (24,588,799) (27,648,213)Increase (decrease) in bank overdraft . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (157,427) 224,629 48,720 (15,490)

Net cash used for financing activities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (28,879,433) (91,585,196) (25,263,664) 29,406,669

Statements of Cash Flows




BlackRockCore Bond

Trust(BHK)


(HYT)1

BlackRockIncome


(BNA)

BlackRockIncome Trust,

Inc.(BKT)

Cash Impact from Foreign Exchange Fluctuations

Cash impact from foreign exchange fluctuations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,790 $ (4,222) $ (3,922) —

Cash and Foreign Currency

Net increase (decrease) in cash and foreign currency . . . . . . . . . . . . . . . . . . . . . . . . . 1,996 (2,128,854) 232,485 —Cash and foreign currency at beginning of year. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52,785 2,657,9333 72,218 —

Cash and foreign currency at end of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 54,781 $ 529,079 $ 304,703 —

Supplemental Disclosure of Cash Flow Information

Cash paid during the period for interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 432,192 $ 5,493,301 $ 336,480 $ 309,244

Non-cash Financing Activities

Fair value of investments acquired through reorganization. . . . . . . . . . . . . . . . . . . . . . — $1,691,534,575 — —

Capital shares issued in reorganization . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — $1,178,342,562 — —

1 Consolidated Statement of Cash Flows.2 Includes assets and liabilities acquired in reorganization.3 Includes cash and foreign currency acquired in reorganization of $2,642,772.

Statements of Cash Flows (concluded)




2014 2013 2012 2011 2010

Per Share Operating Performance

Net asset value, beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 14.05 $ 15.21 $ 13.78 $ 14.19 $ 12.56

Net investment income1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.87 0.89 0.88 0.83 0.87Net realized and unrealized gain (loss). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.23 (1.11) 1.37 (0.36) 1.76

Net increase (decrease) from investment operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.10 (0.22) 2.25 0.47 2.63

Dividends from net investment income2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.91) (0.94) (0.82) (0.88) (1.00)

Net asset value, end of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 15.24 $ 14.05 $ 15.21 $ 13.78 $ 14.19

Market price, end of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 13.64 $ 12.50 $ 15.41 $ 12.69 $ 13.92

Total Return3

Based on net asset value. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16.09%4 (1.42)% 17.06% 4.02% 22.44%

Based on market price. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16.78% (13.43)% 28.78% (2.35)% 25.93%

Ratio to Average Net Assets

Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.06%5 1.03% 0.95% 1.02% 1.18%

Total expenses after fees waived and paid indirectly . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.02%5 0.98% 0.94% 1.02% 1.18%

Total expenses after fees waived and paid indirectly and excluding interest expense . . . . . 0.91%5 0.86% 0.86% 0.93% 0.95%

Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.94% 5.92% 6.13% 6.05% 6.62%

Supplemental Data

Net assets, end of year (000) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 412,078 $ 379,913 $ 411,136 $ 372,295 $ 383,540

Borrowings outstanding, end of year (000) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 168,301 $ 172,537 $ 182,679 $ 152,301 $ 168,938

Average borrowings outstanding, during the year (000) . . . . . . . . . . . . . . . . . . . . . . . . . . $ 169,493 $ 187,038 $ 143,234 $ 151,080 $ 162,760

Portfolio turnover rate6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82% 100% 290% 824% 641%

Asset coverage, end of year per $1,000 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 3,448 $ 3,202 $ 3,251 $ 3,444 $ 3,270

1 Based on average shares outstanding.2 Dividends for annual periods determined in accordance with federal income tax regulations.3 Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the

effects of any sales charges and assumes the reinvestment of dividends and distributions.4 Includes proceeds received from a settlement of litigation, which impacted the Fund’s total return. Excluding these proceeds, the Fund’s total return would have been 16.01%.5 Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and paid indirectly, and total expenses after fees waived and paid indirectly

and excluding interest expense would have been 1.00 %, 0.96% and 0.85%, respectively.6 Includes mortgage dollar roll transactions. Additional information regarding portfolio turnover is as follows:


2014 2013 2012 2011 2010

Portfolio turnover (excluding mortgage dollar roll transactions) . . . . . . . . . . . . . . . . . 48% 63% 237% 544% 534%

Financial Highlights BlackRock Core Bond Trust (BHK)




20141 20131 20121 2011 2010


Net asset value, beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 12.62 $ 12.32 $ 11.49 $ 11.38 $ 9.68

Net investment income2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.98 1.00 1.04 1.06 1.05Net realized and unrealized gain . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.91 0.41 0.83 0.05 1.67

Net increase (decrease) from investment operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.89 1.41 1.87 1.11 2.72

Dividends from net investment income3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1.04) (1.11) (1.04) (1.00) (1.02)


Market price, end of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 12.07 $ 11.37 $ 12.96 $ 11.21 $ 11.19

Total Return4

Based on net asset value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16.21% 11.90% 17.14% 9.95% 29.26%

Based on market price . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15.58% (4.16)% 26.30% 9.09% 29.92%


Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.35%5 1.54%6 1.51% 1.41% 1.34%

Total expenses after fees waived and paid indirectly . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.35%5 1.54%6 1.51% 1.41% 1.34%

Total expenses after fees waived and paid indirectly and excluding interest expense andincome tax . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.98%5 1.16%6,7 1.19%8 1.12% 1.09%


Supplemental Data

Net assets, end of year (000) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,705,422 $ 446,847 $ 435,955 $ 405,697 $ 401,760



Portfolio turnover rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64% 77% 61% 87% 85%


1 Consolidated Financial Highlights.2 Based on average shares outstanding.3 Dividends for annual periods determined in accordance with federal income tax regulations.4 Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the

effects of any sales charges and assumes the reinvestment of dividends and distributions.5 Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and paid indirectly, and total expenses after fees waived and paid indirectly

and excluding interest expense would have been 1.34 %, 1.34% and 0.97%, respectively.6 Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and paid indirectly, and total expenses after fees waived and paid indirectly

and excluding interest expense would have been 1.50 %, 1.50% and 1.12%, respectively.7 For the year ended August 31, 2013, the total expense ratio after fees waived and paid indirectly and excluding interest expense, borrowing costs and income tax was 1.15%.8 For the year ended August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense and borrowing costs was 1.09%.

Financial Highlights BlackRock Corporate High Yield Fund, Inc. (HYT)




2014 2013 2012 2011 2010


Net asset value, beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 10.96 $ 11.84 $ 10.77 $ 11.07 $ 10.02

Net investment income1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.69 0.68 0.67 0.63 0.59Net realized and unrealized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.97 (0.87) 1.05 (0.28) 1.25


Dividends from net investment income2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.71) (0.69) (0.65) (0.65) (0.79)



Total Return3

Based on net asset value. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16.46% (1.47)% 16.81% 3.91% 19.83%

Based on market price. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17.73% (11.39)% 24.92% (0.37)% 18.69%


Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.01%4 0.93% 0.90% 0.95% 1.09%

Total expenses after fees waived and paid indirectly . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.93%4 0.93% 0.90% 0.95% 1.09%



Supplemental Data

Net assets end of year (000) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 410,503 $ 377,805 $ 408,068 $ 371,175 $ 381,379





1 Based on average shares outstanding.2 Dividends for annual periods determined in accordance with federal income tax regulations.3 Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the


and excluding interest expense would have been 0.92%, 0.84% and 0.73%, respectively.5 Includes mortgage dollar roll transactions. Additional information regarding portfolio turnover is as follows:


2014 2013 2012 2011 2010


Financial Highlights BlackRock Income Opportunity Trust, Inc. (BNA)




2014 2013 2012 2011 2010


Net asset value, beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 7.32 $ 7.94 $ 7.96 $ 7.76 $ 7.12

Net investment income1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.35 0.32 0.39 0.35 0.20Net realized and unrealized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.03 (0.46) 0.06 0.19 0.73


Dividends and distributions from:2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.43) (0.48) (0.27) (0.34) (0.26)Net realized gain . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — (0.20) — (0.03)

Total dividends and distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.43) (0.48) (0.47) (0.34) (0.29)



Total Return3

Based on net asset value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.05% (1.45)% 6.24% 7.70% 13.86%

Based on market price . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.12% (10.34)% 13.19% 8.47% 11.19%


Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.02%4 1.00% 0.97% 1.06% 1.05%

Total expenses after fees waived and paid indirectly . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.02%4 1.00% 0.97% 1.05% 1.02%



Supplemental Data

Net assets end of year (000) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 464,933 $ 467,948 $ 507,852 $ 508,765 $ 496,260





1 Based on average shares outstanding.2 Dividends and distributions for annual periods determined in accordance with federal income tax regulations.3 Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the


and excluding interest expense would have been 0.97%, 0.97% and 0.90%, respectively.5 Includes mortgage dollar roll transactions. Additional information regarding portfolio turnover is as follows:


2014 2013 2012 2011 2010


Financial Highlights BlackRock Income Trust, Inc. (BKT)



1. Organization:

BlackRock Core Bond Trust (“BHK”), BlackRock Corporate High Yield Fund, Inc. (formerly known as BlackRock Corporate High Yield Fund VI, Inc.) (“HYT”),BlackRock Income Opportunity Trust, Inc. (“BNA”) and BlackRock Income Trust, Inc. (“BKT”) (collectively, the “Trusts” or individually as a “Trust”) areregistered under the 1940 Act, as diversified, closed-end management investment companies. HYT, BNA and BKT are organized as Maryland corporations.BHK is organized as a Delaware statutory trust. The Boards of Directors and Board of Trustees of the Trusts are collectively referred to throughout this reportas the “Board of Trustees” or the “Board”, and the directors/trustees thereof are collectively referred to throughout this report as “Trustees”. The Trustsdetermine and make available for publication the NAVs of their Common Shares on a daily basis.

Reorganizations: The Board and shareholders of HYT and the Board and shareholders of each of BlackRock Corporate High Yield Fund, Inc. (COY),BlackRock Corporate High Yield Fund III, Inc. (CYE), BlackRock Corporate High Yield Fund V, Inc. (HYV), BlackRock High Income Shares (HIS) andBlackRock High Yield Trust (BHY) (individually a “HYT Target” and collectively the “HYT Target Funds”) approved the reorganizations of each HYT Target Fundinto the Trust pursuant to which the Trust acquired substantially all of the assets and substantially all of the liabilities of each HYT Target Fund in exchangefor an equal aggregate value of newly-issued shares of the Trust. On February 28, 2014, the Trust changed its name from BlackRock Corporate High YieldFund VI, Inc. to BlackRock Corporate High Yield Fund, Inc.

Each Common Shareholder of HYT Target received Common Shares of HYT in an amount equal to the aggregate net asset value of such shareholder’sTarget Fund shares, as determined at the close of business on November 15, 2013, less the costs of the Target Fund’s reorganization. Cash wasdistributed for any fractional shares.

The reorganizations were accomplished by a tax-free exchange of shares of HYT in the following amounts and at the following conversion ratios:

Target FundShares Prior toReorganization

ConversionRatio

Shares ofHYT

COY . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35,027,459 0.59633674 20,888,115CYE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37,552,995 0.61218457 22,989,338HYV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33,015,111 1.02665810 33,895,222HIS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54,848,390 0.17536312 9,618,090BHY . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,431,296 0.58941105 3,790,663

Each HYT Target’s net assets and composition of net assets on November 15, 2013, the valuation date of the reorganization, were as follows:

Target Funds

COY CYE HYV HIS BHY

Net assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $269,933,969 $297,104,927 $438,025,175 $124,291,816 $ 48,986,675Paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $305,529,497 $325,149,382 $469,523,241 $151,358,421 $ 57,800,581Distributions in excess of net investment income . . . . . . . . . . . . . . . $ (1,185,651) $ (1,350,006) $ (1,971,210) $ (754,598) $ (176,691)Accumulated net realized loss. . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ (41,042,210) $ (35,328,795) $ (45,260,726) $ (28,812,095) $(11,055,877)Net unrealized appreciation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 6,632,333 $ 8,634,346 $ 15,733,870 $ 2,500,088 $ 2,418,662

For financial reporting purposes, assets received and shares issued by HYT were recorded at fair value. However, the cost basis of the investments receivedfrom the HYT Target were carried forward to align ongoing reporting of HYT’s realized and unrealized gains and losses with amounts distributable toshareholders for tax purposes.

The net assets of HYT before the acquisition were $457,705,742. The aggregate net assets of HYT immediately after the acquisition amounted to$1,636,048,304. Each HYT Target’s fair value and cost of investments and derivative financial instruments prior to the reorganization were as follows:

Target FundFair Value ofInvestments

Cost ofInvestments

COY . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $390,967,349 $384,382,845CYE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $426,116,528 $417,548,014HYV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $635,374,976 $619,705,167HIS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $168,353,486 $165,699,553BHY . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 69,538,358 $ 67,121,555

The purpose of these transactions was to combine six funds managed by BlackRock Advisors, LLC (the “Manager”) with the same or substantially similar(but not identical) investment objectives, investment policies, strategies, risks and restrictions. Each reorganization was a tax-free event and was effectiveon November 18, 2013.

Notes to Financial Statements


Assuming the acquisition had been completed on September 1, 2013 the beginning of the fiscal reporting period of HYT, the pro forma results ofoperations for the year ended August 31, 2014, are as follows:

• Net investment income: $124,066,786

• Net realized and change in unrealized gain/loss on investments: $114,665,188

• Net increase/decrease in net assets resulting from operations: $238,731,974

Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicableto separate the amounts of revenue and earnings of the Target Funds that have been included in HYT’s Consolidated Statement of Operations sinceNovember 18, 2013.

Reorganization costs incurred in connection with the reorganizations were expensed by HYT.

On June 6, 2014, the Boards of BHK, BNA and BKT approved the reorganizations of BKT and BNA with and into BHK, with BHK continuing as the survivingfund after the reorganizations. At a special meeting of shareholders on September 30, 2014, the shareholders of BHK and BNA approved thereorganization of BNA with and into BHK, which is expected to be completed in late 2014. The reorganization of BKT with and into BHK was not approvedby BKT shareholders. Consequently, the reorganization of BKT with and into BHK will not be completed. Regardless of whether the reorganizations arecompleted, the costs associated with the proposed reorganizations, including the costs associated with the shareholder meeting, will be borne directly bythe respective Trust incurring the expense or allocated among BHK, BNA and BKT proportionately or on another reasonable basis, as appropriate. TheManager has agreed to pay $300,000 of BNA’s reorganization costs, which is shown as reorganization costs reimbursed by Manager in the Statements ofOperations.

Basis of Consolidation: HYT’s accompanying consolidated financial statements include the accounts of BLK HYT (Luxembourg) Investments, S.a.r.l., BLKHYV (Luxembourg) Investments, S.a.r.l., BLK COY (Luxembourg) Investments, S.a.r.l. and BLK CYE (Luxembourg) Investments, S.a.r.l. (the “TaxableSubsidiaries”), all of which are wholly owned Taxable Subsidiaries of HYT which hold shares of private Canadian companies, Laricina Energy Ltd. and OsumOil Sands Corp. Such shares are held in the Taxable Subsidiaries in order to realize benefits under the Double Tax Avoidance Convention between Canadaand Luxembourg, the result of which is gains on the sale of such shares will not be subject to capital gains taxes in Canada. Income earned on theinvestments held by the Taxable Subsidiaries may be taxable to such subsidiaries in Luxembourg. A tax provision, if any, is included in expenses in theConsolidated Statements of Operations. A tax provision for realized and unrealized gain, if any, is included as a reduction of realized and/or unrealizedgain (loss) in the Consolidated Statements of Operations. The net assets of the Taxable Subsidiaries at August 31, 2014 were $14,152,153 or 0.8% ofHYT’s consolidated net assets. Intercompany accounts and transactions, if any, have been eliminated. The Taxable Subsidiaries are subject to the sameinvestment policies and restrictions that apply to the Trust.

2. Significant Accounting Policies:

The Trusts’ financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”),which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statementsand the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from thoseestimates. The following is a summary of the significant accounting policies followed by the Trusts:

Valuation: U.S. GAAP defines fair value as the price the Trusts would receive to sell an asset or pay to transfer a liability in an orderly transaction betweenmarket participants at the measurement date. The Trusts determine the fair value of their financial instruments at market value using independent dealersor pricing services under policies approved by the Board. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) isthe committee formed by management to develop global pricing policies and procedures and to provide oversight of the pricing function for the Trusts forall financial instruments.

Bond investments are valued on the basis of last available bid prices or current market quotations provided by dealers or pricing services. Floating rateloan interests are valued at the mean of the bid prices from one or more brokers or dealers as obtained from a pricing service. In determining the value of aparticular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricingmatrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yieldmeasures. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows ofeach tranche of the security, establish a benchmark yield and develop an estimated tranche-specific spread to the benchmark yield based on the uniqueattributes of the tranche. Financial futures contracts traded on exchanges are valued at their last sale price. To-be-announced (“TBA”) commitments arevalued on the basis of last available bid prices or current market quotations provided by pricing services. Swap agreements are valued utilizing quotes

Notes to Financial Statements (continued)


received daily by the Trusts’ pricing service or through brokers, which are derived using daily swap curves and models that incorporate a number of marketdata factors, such as discounted cash flows, trades and values of the underlying reference instruments. Certain centrally cleared swaps are valued at the pricedetermined by the relevant exchange or clearinghouse. Investments in open-end registered investment companies are valued at NAV each business day.

Municipal investments (including commitments to purchase such investments on a “when-issued” basis) are valued on the basis of prices provided bydealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions insuch investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to variousrelationships between investments.

Equity investments traded on a recognized securities exchange or the NASDAQ Stock Market (“NASDAQ”) are valued at the last reported sale price that dayor the NASDAQ official closing price, if applicable. For equity investments traded on more than one exchange, the last reported sale price on the exchangewhere the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at thelast available bid (long positions) or ask (short positions) price.

Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of theclose of business on the New York Stock Exchange (“NYSE”). Forward foreign currency exchange contracts are valued at the mean between the bid and askprices and are determined as of the close of business on the NYSE. Interpolated values are derived when the settlement date of the contract is an interimdate for which quotations are not available.

Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. Anexchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price isavailable, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. Over-the-counter(“OTC”) options and swaptions are valued by an independent pricing service using a mathematical model, which incorporates a number of market datafactors, such as the trades and prices of the underlying instruments.

In the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the marketvalue of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance witha policy approved by the Board as reflecting fair value (“Fair Value Assets”). When determining the price for Fair Value Assets, the Global ValuationCommittee, or its delegate, seeks to determine the price that each Trust might reasonably expect to receive from the current sale of that asset in anarm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deemsrelevant consistent with the principles of fair value measurement, which include the market approach, income approach and/or in the case of recentinvestments, the cost approach, as appropriate. The market approach generally consists of using comparable market transactions. The income approachgenerally is used to discount future cash flows to present value and is adjusted for liquidity as appropriate. These factors include but are not limited to:(i) attributes specific to the investment or asset; (ii) the principal market for the investment or asset; (iii) the customary participants in the principal marketfor the investment or asset; (iv) data assumptions by market participants for the investment or asset, if reasonably available; (v) quoted prices for similarinvestments or assets in active markets; and (vi) other factors, such as future cash flows, interest rates, yield curves, volatilities, prepayment speeds, lossseverities, credit risks, recovery rates, liquidation amounts and/or default rates. Due to the inherent uncertainty of valuations of such investments, the fairvalues may differ from the values that would have been used had an active market existed. The Global Valuation Committee, or its delegate, employsvarious methods for calibrating valuation approaches for investments where an active market does not exist, including regular due diligence of the Trusts’pricing vendors, regular reviews of key inputs and assumptions, transactional back-testing or disposition analysis to compare unrealized gains and lossesto realized gains and losses, reviews of missing or stale prices and large movements in market values and reviews of any market related activity. Thepricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof on a quarterly basis.

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally,events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not bereflected in the computation of each Trust’s net assets. If events (e.g., a company announcement, market volatility or a natural disaster) occur during suchperiods that are expected to materially affect the value of such instruments, those instruments may be Fair Value Assets and be valued at their fair value,as determined in good faith by the Global Valuation Committee, or its delegate, using a pricing service and/or policies approved by the Board. Eachbusiness day, the Trusts use a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-tradedand OTC options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreignsecurities and foreign options at fair value as of the close of business on the NYSE, which follows the close of the local markets.

Foreign Currency: The Trusts’ books and records are maintained in U.S. dollars. Purchases and sales of investment securities are recorded at the rates ofexchange prevailing on the respective date of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the Trusts’investments denominated in that currency will lose value because that currency is worth fewer U.S. dollars; the opposite effect occurs if the U.S. dollar fallsin relative value.



The Trusts do not isolate the portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the marketprices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in foreign currency exchange rates on investmentsare not segregated in the Statements of Operations from the effects of changes in market prices of those investments but are included as a component ofnet realized and unrealized gain (loss) from investments. The Trusts report realized currency gains (losses) on foreign currency related transactions ascomponents of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for federalincome tax purposes.

Segregation and Collateralization: In cases where a Trust enters into certain investments (e.g., dollar rolls, TBA sale commitments, financial futurescontracts, forward foreign currency exchange contracts, options written, swaps and short sales) or certain borrowings (e.g., reverse repurchasetransactions) that would be “senior securities” for 1940 Act purposes, each Trust may segregate or designate on its books and records cash or liquidsecurities having a market value at least equal to the amount of each Trust’s future obligations under such investments or borrowings. Doing so allows theinvestment or borrowing to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, eachTrust may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investmentsor obligations.

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions areentered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income isrecorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when theTrusts are informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains,dividends and interest. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be redesignated as areduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debtsecurities, is recognized on the accrual basis.

Dividends and Distributions: Dividends from net investment income are declared and paid monthly. Distributions of capital gains are recorded on theex-dividend date. The character and timing of dividends and distributions are determined in accordance with federal income tax regulations, which maydiffer from U.S. GAAP.

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Trust’s Board, the independent Trustees(“Independent Trustees”) may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as thoughequivalent dollar amounts had been invested in common shares of certain other BlackRock Closed-End Funds selected by the Independent Trustees. Thishas the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in certain otherBlackRock Closed-End Funds.

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Trust. Deferred compensationliabilities are included in officer’s and trustees’ fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Trusts until suchamounts are distributed in accordance with the Plan.

Recent Accounting Standard: In June 2014, the Financial Accounting Standards Board issued guidance to improve the financial reporting of reverserepurchase agreements and other similar transactions. The guidance will require expanded disclosure for entities that enter into reverse repurchaseagreements and similar transactions accounted for as secured borrowings. It is effective for financial statements with fiscal years beginning on or afterDecember 15, 2014 and interim periods within those fiscal years. Management is evaluating the impact, if any, of this guidance on the Funds’ financialstatement disclosures.

Other: Expenses directly related to a Trust are charged to that Trust. Other operating expenses shared by several funds are pro rated among those funds onthe basis of relative net assets or other appropriate methods.

The Trusts have an arrangement with the custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, areshown as fees paid indirectly in the Statements of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset byaccumulated credits earned or may result in additional custody charges.

3. Securities and Other Investments:

Asset-Backed and Mortgage-Backed Securities: Certain Trusts may invest in asset-backed securities. Asset-backed securities are generally issued aspass-through certificates, which represent undivided fractional ownership interests in an underlying pool of assets, or as debt instruments, which are alsoknown as collateralized obligations, and are generally issued as the debt of a special purpose entity organized solely for the purpose of owning such assetsand issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yieldcharacteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the



obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates inthe market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increasedprepayment rate with respect to an asset-backed security subject to such a prepayment feature will have the effect of shortening the maturity of thesecurity. In addition, the Trusts may subsequently have to reinvest the proceeds at lower interest rates. If the Trusts have purchased such an asset-backedsecurity at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

Certain Trusts may purchase certain mortgage pass-through securities. There are a number of important differences among the agencies andinstrumentalities of the U.S. government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-relatedsecurities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by thefull faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and FannieMae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to thefull faith and credit of the United States, but are supported by the right of the issuer to borrow from the Treasury.

Collateralized Debt Obligations: Certain Trusts may invest in collateralized debt obligations (“CDOs”), which include collateralized bond obligations(“CBOs”) and collateralized loan obligations (“CLOs”). CBOs and CLOs are types of asset-backed securities. A CDO is an entity that is backed by adiversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called“tranches,” which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk ofdefaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances.Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than theirunderlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protectionfrom the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and thedisappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.

Multiple Class Pass-Through Securities: Certain Trusts may invest in multiple class pass-through securities, including collateralized mortgage obligations(“CMOs”) and commercial mortgage-backed securities. These multiple class securities may be issued by Ginnie Mae, U.S. government agencies orinstrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity thatare collateralized by, and multiple class pass-through securities represent direct ownership interests in, a pool of residential or commercial mortgage loansor mortgage pass-through securities (the “Mortgage Assets”), the payments on which are used to make payments on the CMOs or multiple pass-throughsecurities. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs andPOs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest andprincipal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile inresponse to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform bestwhen prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO.When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If theunderlying Mortgage Assets experience greater than anticipated pre-payments of principal, the Trusts may not fully recoup their initial investment in IOs.

Stripped Mortgage-Backed Securities: Certain Trusts may invest in stripped mortgage-backed securities issued by the U.S. government, its agencies andinstrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest (IOs) andprincipal (POs) distributions on a pool of Mortgage Assets. The Trusts also may invest in stripped mortgage-backed securities that are privately issued.

Zero-Coupon Bonds: Certain Trusts may invest in zero-coupon bonds, which are normally issued at a significant discount from face value and do notprovide for periodic interest payments. Zero-coupon bonds may experience greater volatility in market value than similar maturity debt obligations whichprovide for regular interest payments.

Capital Trusts and Trust Preferred Securities: Certain Trusts may invest in capital trusts and/or trust preferred securities. These securities are typicallyissued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics, or by an affiliated business trust of acorporation, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured aseither fixed or adjustable coupon securities that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank orcorporation will pay interest to the trust, which will then be distributed to holders of the trust preferred securities as a dividend. Dividends can be deferredwithout creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. Thedeferral of payments does not affect the purchase or sale of these securities in the open market. Payments on these securities are treated as interest ratherthan dividends for federal income tax purposes. These securities generally are rated below that of the issuing company’s senior debt securities and arefreely callable at the issuer’s option.



Preferred Stock: Certain Trusts may invest in preferred stock. Preferred stock has a preference over common stock in liquidation (and generally in receivingdividends as well) but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixeddividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stockgenerally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer,deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similarstated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board ofdirectors. Preferred stock also may be subject to optional or mandatory redemption provisions.

Floating Rate Loan Interests: Certain Trusts may invest in floating rate loan interests. The floating rate loan interests held by the Trusts are typically issuedto companies (the “borrower”) by banks, other financial institutions, and privately and publicly offered corporations (the “lender”). Floating rate loaninterests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highlyleveraged. The Trusts may invest in obligations of borrowers who are in bankruptcy proceedings. Floating rate loan interests may include fully funded termloans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loaninterests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates aregenerally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate (“LIBOR”), the prime rate offered by one ormore U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated inforeign currencies. The Trusts consider these investments to be investments in debt securities for purposes of their investment policies.

When a Trust purchases a floating rate loan interest it may receive a facility fee and when it sells a floating rate loan interest it may pay a facility fee. On anongoing basis, the Trusts may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loaninterest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent andamendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by the Trusts upon the prepayment of a floating rateloan interest by a borrower, are recorded as realized gains. The Trusts may invest in multiple series or tranches of a loan. A different series or tranche mayhave varying terms and carry different associated risks.

Floating rate loan interests are usually freely callable at the borrower’s option. The Trusts may invest in such loans in the form of participations in loans(“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in the Trusts having acontractual relationship only with the lender, not with the borrower. The Trusts will have the right to receive payments of principal, interest and any fees towhich it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection withpurchasing Participations, the Trusts generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rightsof offset against the borrower, and the Trusts may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. Asa result, the Trusts will assume the credit risk of both the borrower and the lender that is selling the Participation. The Trusts’ investment in loanparticipation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of thelender selling the Participation, the Trusts may be treated as a general creditor of the lender and may not benefit from any offset between the lender andthe borrower. Assignments typically result in the Trusts having a direct contractual relationship with the borrower, and the Trusts may enforce complianceby the borrower with the terms of the loan agreement.

In connection with floating rate loan interests, the Trusts may also enter into unfunded loan commitments (“commitments”). In connection with thesecommitments, the Trusts earn a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interestincome in the Statements of Operations, is recognized ratably over the commitment period. Commitment fees received in advance and unrecognized arerecorded in the Statements of Assets and Liabilities as deferred income. Unfunded floating rate loan interests are marked-to-market daily, and anyunrealized appreciation or depreciation is included in the Statements of Assets and Liabilities and Statements of Operations. As of August 31, 2014 theTrusts had no outstanding unfunded floating rate loan interests.

Forward Commitments and When-Issued Delayed Delivery Securities: Certain Trusts may purchase securities on a when-issued basis and may purchase orsell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or salecommitment is made. The Trusts may purchase securities under such conditions with the intention of actually acquiring them, but may enter into aseparate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, the Trustsmay be required to pay more at settlement than the security is worth. In addition, the Trusts are not entitled to any of the interest earned prior tosettlement. When purchasing a security on a delayed delivery basis, the Trusts assume the rights and risks of ownership of the security, including the risk ofprice and yield fluctuations. In the event of default by the counterparty, the Trusts’ maximum amount of loss is the unrealized appreciation of unsettledwhen-issued transactions, which is shown in the Schedules of Investments.

TBA Commitments: Certain Trusts may enter into TBA commitments. TBA commitments are forward agreements for the purchase or sale of mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are notidentified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. When entering into TBA



commitments, the Trusts may take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll thetransaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior tosettlement date.

Mortgage Dollar Roll Transactions: Certain Trusts may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantiallysimilar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale andrepurchase, the Trusts will not be entitled to receive interest and principal payments on the securities sold. The Trusts account for mortgage dollar rolltransactions as purchases and sales and realizes gains and losses on these transactions. These transactions may increase the Trusts’ portfolio turnoverrate. Mortgage dollar rolls involve the risk that the market value of the securities that the Trusts are required to purchase may decline below the agreedupon repurchase price of those securities.

Borrowed Bond Agreements: Certain Trusts may enter into borrowed bond agreements. In a borrowed bond agreement, the Trusts borrow a bond from acounterparty in exchange for cash collateral. The borrowed bond agreement contains a commitment that the security and the cash will be returned to thecounterparty and the Trusts, respectively, at a mutually agreed upon date. Certain agreements have no stated maturity and can be terminated by eitherparty at any time. Borrowed bond agreements are entered into primarily in connection with short sales of bonds. Earnings on cash collateral andcompensation to the lender of the bond are based on agreed upon rates between the Trusts and the counterparty. The value of the underlying cashcollateral approximates the market value and accrued interest of the borrowed bond. To the extent that a borrowed bond transaction exceeds one businessday, the value of the cash collateral in the possession of the counterparty is monitored on a daily basis to ensure the adequacy of the collateral. As themarket value of the borrowed bond changes, the cash collateral is periodically increased or decreased with a frequency and in amounts prescribed in theborrowed bond agreement. Full realization of the collateral by the Trusts may be limited if the value of an investment purchased with the cash collateral bythe lender decreases. The Trusts may also experience delays in gaining access to the collateral.

Reverse Repurchase Agreements: Certain Trusts may enter into reverse repurchase agreements with qualified third party broker-dealers. In a reverserepurchase agreement, the Trusts sell securities to a bank or broker-dealer and agree to repurchase the same securities at a mutually agreed upon dateand price. During the term of the reverse repurchase agreement, the Trusts continue to receive the principal and interest payments on the securities sold.Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreementsissued and outstanding is based upon competitive market rates determined at the time of issuance. The Trusts may utilize reverse repurchase agreementswhen it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense ofthe transaction. Reverse repurchase agreements involve leverage risk and also the risk that the market value of the securities to be repurchased maydecline below the repurchase price.

For financial reporting purposes, cash received in exchange for securities delivered plus accrued interest due to the counterparty is recorded as a liability inthe Statements of Assets and Liabilities at face value including accrued interest. Due to the short term nature of the reverse repurchase agreements, facevalue approximates fair value. Interest payments made by the Trusts to the counterparties are recorded as a component of interest expense in theStatements of Operations. In periods of increased demand for the security, the Trusts may receive a fee for use of the security by the counterparty, whichmay result in interest income to the Trusts.

For the year ended August 31, 2014, the daily weighted average interest rates from reverse repurchase agreements were as follows:

Daily WeightedAverage

Interest Rate

BHK . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.24%BNA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.24%BKT . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.15%

Reverse repurchase transactions and borrowed bond agreements are entered into by the Trusts under Master Repurchase Agreements (“MRA”), whichpermit the Trusts, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivablesunder the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Trusts. With reverse repurchasetransactions and borrowed bond agreements, typically the Trusts and the counterparties are permitted to sell, re-pledge, or use the collateral associatedwith the transaction. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset inthe event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, the Trusts receive or post securities as collateral with amarket value in excess of the repurchase price to be paid or received by the Trusts upon the maturity of the transaction. Upon a bankruptcy or insolvency ofthe MRA counterparty, the Trusts are considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral maybe delayed.



The following table is a summary of the Trusts’ open repurchase agreements and borrowed bond agreements by counterparty which are subject to offsetunder an MRA on a net basis as of August 31, 2014:

BHK

Counterparty

ReverseRepurchaseAgreements

Fair Value ofNon-cash CollateralPledged IncludingAccrued Interest1

CashCollateral

Pledged/ReceivedNet

Amount

Barclays Capital, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 14,913,465 $ (14,913,465) — —BNP Paribas Securities Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66,328,249 (66,328,249) — —Citigroup Global Markets, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,726,418 (6,726,418)Credit Suisse Securities (USA) LLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,596,107 (23,596,107) — —Deutsche Bank Securities, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,001,451 (10,001,451) — —Merrill Lynch, Pierce, Fenner & Smith, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,937,451 (13,937,451) — —RBC Capital Markets, LLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,464,699 (1,464,699)UBS Securities LLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31,332,937 (31,332,937) — —

Total $168,300,777 $(168,300,777) — —

1 Net collateral with a value of $176,020,238 has been pledged/received in connection with open reverse repurchase agreements. Excess of net collateral pledged to theindividual counterparty is not shown for financial reporting purposes.

BNA

Counterparty


Fair Value ofNon-cash CollateralPledged IncludingAccrued Interest2

CashCollateral

Pledged/ReceivedNet

Amount

Barclays Capital, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 8,863,776 $ (8,863,776) — —BNP Paribas Securities Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55,178,541 (55,178,541) — —Credit Suisse Securities (USA) LLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35,190,271 (35,190,271) — —Deutsche Bank Securities, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,141,341 (12,141,341) — —Merrill Lynch, Pierce, Fenner & Smith, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,077,518 (25,077,518) — —RBC Capital Markets, LLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,696,626 (6,696,626) — —UBS Securities LLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28,418,498 (28,418,498) — —

Total $171,566,571 $(171,566,571) — —

2 Net collateral with a value of $179,439,228 has been pledged/received in connection with open reverse repurchase agreements. Excess of net collateral pledged to theindividual counterparty is not shown for financial reporting purposes.

BKT

Counterparty

BorrowedBonds

Agreements3


BorrowedBonds at

ValueincludingAccruedInterest4

Net Amountbefore Collateral

Non-cashCollateralReceived

CashCollateralReceived

Non-cashCollateralPledged

CashCollateralPledged

Net Collateral(Received) /

Pledged5

Net ExposureDue (to) / fromCounterparty

BNP Paribas SecuritiesCorp. . . . . . . . . . . . . . . . — $ (2,831,964) — $ (2,831,964) — — $ 2,831,964 — $ 2,831,964 —

Credit Suisse Securities(USA) LLC . . . . . . . . . . . . $837,000 $(202,583,034) $(877,080) $(202,623,114) — — 202,623,114 — 202,623,114 —

Total $837,000 $(205,414,998) $(877,080) $(205,455,078) — — $205,455,078 — $205,455,078 —

3 Included in Investments at value-unaffiliated in the Statements of Assets and Liabilities.4 Includes accrued interest on borrowed bonds in the amount of $17,393 which is included in interest expense payable in the Statements of Assets and Liabilities.5 Net collateral with a value of $212,428,256 has been pledged/received in connection with open reverse repurchase agreements. Excess of net collateral pledged to the

individual counterparty is not shown for financial reporting purposes.

In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, the Trusts’ use of the proceeds from the agreement maybe restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce the Trusts’ obligation to repurchase the securities.



Short Sales: Certain Trusts may enter into short sale transactions in which the Trusts sell a security they do not hold in anticipation of a decline in themarket price of that security. When the Trusts make a short sale, they will borrow the security sold short (borrowed bond) and deliver the security to thecounterparty to which they sold the security short. An amount equal to the proceeds received by the Trusts is reflected as an asset and an equivalentliability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Trusts are required to repay thecounterparty interest on the security sold short, which is shown as interest expense in the Statements of Operations. The Trusts are exposed to market riskbased on the amount, if any, that the market value of the security increases beyond the market value at which the position was sold. Thus, a short sale of asecurity involves the risk that instead of declining, the price of the security sold short will rise. The short sale of securities involves the possibility of atheoretically unlimited loss since there is a theoretically unlimited potential for the market price of the security sold short to increase. A gain, limited to theprice at which the Trusts sold the security short, or a loss, unlimited as to the dollar amount, will be recognized upon the termination of a short sale if themarket price is either less than or greater than the proceeds originally received. There is no assurance the Trusts will be able to close out a short position ata particular time or at an acceptable price.

4. Derivative Financial Instruments:

The Trusts engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Trusts and/or to economicallyhedge their exposure to certain risks such as credit risk, equity risk, interest rate risk and foreign currency exchange rate risk. These contracts may betransacted on an exchange or OTC.

Financial Futures Contracts: The Trusts purchase and/or sell financial futures contracts and options on financial futures contracts to gain exposure to, oreconomically hedge against, changes in interest rates (interest rate risk), changes in the value of equity securities (equity risk) or foreign currencies(foreign currency exchange rate risk). Financial futures contracts are agreements between the Trusts and a counterparty to buy or sell a specific quantity ofan underlying instrument at a specified price and at a specified date. Depending on the terms of the particular contract, financial futures contracts are settledeither through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date.

Upon entering into a financial futures contract, the Trusts are required to deposit initial margin with the broker in the form of cash or securities in an amountthat varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of thecontract. Securities deposited as initial margin are designated on the Schedules of Investments and cash deposited, if any, is recorded on the Statements ofAssets and Liabilities as cash pledged for financial futures contracts. Pursuant to the contract, the Trusts agree to receive from or pay to the broker an amountof cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin. Variation margin is recorded by theTrusts as unrealized appreciation or depreciation and, if applicable, as a receivable or payable for variation margin in the Statements of Assets and Liabilities.

When the contract is closed, the Trusts record a realized gain or loss equal to the difference between the value of the contract at the time it was openedand the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price offinancial futures contracts, interest or foreign currency exchange rates and the underlying assets.

Forward Foreign Currency Exchange Contracts: The Trusts enter into forward foreign currency exchange contracts as an economic hedge against eitherspecific transactions or portfolio instruments or to obtain exposure to, or hedge exposure away from, foreign currencies (foreign currency exchange raterisk). A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date.Forward foreign currency exchange contracts, when used by the Trusts, help to manage the overall exposure to the currencies in which some of theinvestments held by the Trusts are denominated. The contract is marked-to-market daily and the change in market value is recorded by the Trusts as anunrealized gain or loss. When the contract is closed, the Trusts record a realized gain or loss equal to the difference between the value at the time it wasopened and the value at the time it was closed. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreigncurrency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies.

Options: The Trusts purchase and write call and put options to increase or decrease their exposure to underlying instruments (including equity risk andinterest rate risk) and/or, in the case of options written, to generate gains from options premiums. A call option gives the purchaser (holder) of the optionthe right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise orstrike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy theunderlying instrument at the exercise or strike price at any time or at a specified time during the option period. When the Trusts purchase (write) an option,an amount equal to the premium paid (received) by the Trusts is reflected as an asset (liability). The amount of the asset (liability) is subsequentlymarked-to-market to reflect the current market value of the option purchased (written). When an instrument is purchased or sold through an exercise of anoption, the related premium paid (or received) is added to (or deducted from) the basis of the instrument acquired or deducted from (or added to) theproceeds of the instrument sold. When an option expires (or the Trusts enter into a closing transaction), the Trusts realize a gain or loss on the option to theextent of the premiums received or paid (or gain or loss to the extent the cost of the closing transaction exceeds the premiums received or paid). When theTrusts write a call option, such option is “covered,” meaning that the Trusts hold the underlying instrument subject to being called by the optioncounterparty. When the Trusts write a put option, such option is covered by cash in an amount sufficient to cover the obligation.



Options on swaps (“swaptions”) are similar to options on securities except that instead of selling or purchasing the right to buy or sell a security, the writeror purchaser of the swaptions is granting or buying the right to enter into a previously agreed upon interest rate or credit default swap agreement (interestrate risk and/or credit risk) at any time before the expiration of the option.

The Trusts also purchase or sell listed or OTC foreign currency options, foreign currency futures and related options on foreign currency futures as a short orlong hedge against possible variations in foreign exchange rates or to gain exposure to foreign currencies (foreign currency exchange rate risk). Whenforeign currency is purchased or sold through an exercise of a foreign currency option, the related premium paid (or received) is added to (or deductedfrom) the basis of the foreign currency acquired or deducted from (or added to) the proceeds of the foreign currency sold (receipts from the foreigncurrency purchased). Such transactions may be effected with respect to hedges on non-U.S. dollar denominated instruments owned by the Trusts but notyet delivered, or committed or anticipated to be purchased by the Trusts.

In purchasing and writing options, the Trusts bear the risk of an unfavorable change in the value of the underlying instrument or the risk that the Trusts maynot be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Trusts purchasing or selling a securitywhen it otherwise would not, or at a price different from the current market value.

Transactions in options written for the year ended August 31, 2014, were as follows:

Calls Puts

ContractsNotional(000)1

PremiumsReceived Contracts

Notional(000)1

PremiumsReceived

BHKOutstanding options, beginning of year . . . . . . . . . . . . — $ 30,700 $ 66,601 — $ 55,300 $ 735,472Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 128,200 1,952,235 — 156,800 3,167,202Options closed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — (101,100) (1,063,035) — (98,500) (1,514,853)

Outstanding options, end of year . . . . . . . . . . . . . . . . — $ 57,800 $ 955,801 — $113,600 $ 2,387,821

HYTOutstanding options, beginning of year . . . . . . . . . . . . — — — 3,595 — $ 432,862Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — — 19,250 — 814,307Options expired . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — — (9,295) — (804,727)Options closed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — — (13,550) — (442,442)

Outstanding options, end of year . . . . . . . . . . . . . . . . — — — — — —

BNAOutstanding options, beginning of year . . . . . . . . . . . . — $ 30,900 $ 67,034 — $ 55,500 $ 737,000Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 128,400 1,959,254 — 156,900 3,173,955Options closed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — (101,500) (1,066,688) — (98,800) (1,519,403)

Outstanding options, end of year . . . . . . . . . . . . . . . . — $ 57,800 $ 959,600 — $113,600 $ 2,391,552

1 Amount shown is in the currency in which the transaction was denominated.

Swaps: The Trusts enter into swap agreements in which the Trusts and a counterparty agree either to make periodic net payments on a specified notionalamount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract(“OTC swaps”) or centrally cleared (“centrally cleared swaps”). Swaps are marked-to-market daily and changes in value are recorded as unrealizedappreciation (depreciation).

For OTC swaps, any upfront premiums paid are recorded as assets and any upfront fees received are recorded as liabilities and are shown as swappremiums paid and swap premiums received, respectively, in the Statements of Assets and Liabilities and amortized over the term of the OTC swap.Payments received or made by the Trusts for OTC swaps are recorded in the Statements of Operations as realized gains or losses, respectively. When anOTC swap is terminated, the Trusts will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transactionand the Trusts’ basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.

In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”)and the Trusts’ counterparty on the swap agreement becomes the CCP. The Trusts are required to interface with the CCP through a broker. Upon enteringinto a centrally cleared swap, the Trusts are required to deposit initial margin with the broker in the form of cash or securities in an amount that variesdepending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated on the Schedules of Investments andcash deposited is recorded on the Statements of Assets and Liabilities as cash pledged for centrally cleared swaps. The daily change in valuation ofcentrally cleared swaps is recorded as a receivable or payable for variation margin in the Statements of Assets and Liabilities. Payments received from(paid to) the counterparty, including at termination, are recorded as realized gain (loss) in the Statements of Operations.

Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements ofAssets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreementsmay default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorablechanges in interest rates and/or market values associated with these transactions.



• Credit default swaps — The Trusts enter into credit default swaps to manage their exposure to the market or certain sectors of the market, to reduce theirrisk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which they are nototherwise exposed (credit risk). The Trusts may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), acombination or basket of single-name issuers or traded indexes. Credit default swaps on single-name issuers are agreements in which the protectionbuyer pays fixed periodic payments to the seller in consideration for a guarantee from the protection seller to make a specific payment should a negativecredit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium orrestructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments to the seller in consideration for aguarantee from the seller to make a specific payment should a write-down, principal or interest shortfall or default of all or individual underlyingsecurities included in the index occur. As a buyer, if an underlying credit event occurs, the Trusts will either (i) receive from the seller an amount equal tothe notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cashequal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if anunderlying credit event occurs, the Trusts will either pay the buyer an amount equal to the notional amount of the swap and take delivery of thereferenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less therecovery value of the security or underlying securities comprising the index.

• Total return swaps — The Trusts enter into total return swaps to obtain exposure to a security or market without owning such security or investing directlyin that market or to transfer the risk/return of one market (e.g., fixed income) to another market (e.g., equity or commodity prices) (equity risk,commodity price risk and/or interest rate risk). Total return swaps are agreements in which there is an exchange of cash flows whereby one partycommits to make payments based on the total return (coupons plus capital gains/losses) of an underlying instrument in exchange for fixed or floatingrate interest payments. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting interestrate obligation, the Trusts will receive a payment from or make a payment to the counterparty.

• Interest rate swaps — The Trusts enter into interest rate swaps to gain or reduce exposure to interest rates or to manage duration, the yield curve orinterest rate risk by economically hedging the value of the fixed rate bonds, which may decrease when interest rates rise (interest rate risk). Interest rateswaps are agreements in which one party pays a stream of interest payments, either fixed or floating, for another party’s stream of interest payments,either fixed or floating, on the same notional amount for a specified period of time. Interest rate floors, which are a type of interest rate swap, areagreements in which one party agrees to make payments to the other party to the extent that interest rates fall below a specified rate or floor in return fora premium. In more complex swaps, the notional principal amount may decline (or amortize) over time.

• Forward interest rate swaps — The Trusts may enter into forward interest rate swaps and forward total return swaps. In a forward swap, each Trust and thecounterparty agree to make either periodic net payments beginning on a specified future effective date or a net payment at termination, unlessterminated earlier.

The following is a summary of the Trusts’ derivative financial instruments categorized by risk exposure:

Fair Values of Derivative Financial Instruments as of August 31, 2014

Value

BHK HYT BNA BKT

Statements of Assetsand Liabilities Location

DerivativeAssets

DerivativeLiabilities

DerivativeAssets


DerivativeAssets


DerivativeAssets


Interest rate contracts . . Net unrealized appreciation/depreciation1; Unrealizedappreciation/depreciation onOTC swaps; Swaps premiumspaid/received; Investments atvalue-unaffiliated2; Optionswritten at value $1,463,804 $3,414,537 — — $1,495,115 $3,420,200 $5,045,564 $7,706,141

Foreign currencyexchange contracts . . . Unrealized appreciation/

depreciation on forward foreigncurrency exchange contracts 395,247 5,496 $ 7,247,593 $ 304,747 393,776 — — —

Credit contracts . . . . . . . Unrealized appreciation/depreciation on OTC swaps;Swap premiums paid/received 249,510 260,720 2,814,373 368,840 250,887 261,668 — —

Equity contracts . . . . . . Net unrealized appreciation/depreciation1 — — — 886,781 — — — —

Total $2,108,561 $3,680,753 $10,061,966 $1,560,368 $2,139,778 $3,681,868 $5,045,564 $7,706,141

1 Includes cumulative appreciation/depreciation on financial futures contracts as and centrally cleared swaps as reported in the Schedules of Investments. Only current day’svariation margin is reported within the Statements of Assets and Liabilities .

2 Includes options purchased at value as reported in the Schedules of Investments.



The Effect of Derivative Financial Instruments in the Statements of OperationsYear ended August 31, 2014

Net Realized Gain (Loss) FromNet Change in Unrealized

Appreciation/Depreciation on

BHK HYT BHK HYT

Interest rate contracts:Financial futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,224,968 $ (910,267) $(195,226) $ (4,972)Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,450,115) — (773,713) —Options1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 274,352 — 437,577 —

Foreign currency exchange contracts:Foreign currency transactions/translations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,337,997) (1,730,097) 463,069 5,340,324

Credit contracts:Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (40,008) (7,879,332) 8,216 1,770,558

Equity contracts:Financial futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — (2,309,009) — (5,959)Options1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — (8,681,688) — (282,619)

Total $(1,328,800) $(21,510,393) $ (60,077) $6,817,332

The Effect of Derivative Financial Instruments in the Statements of OperationsYear ended August 31, 2014

Net Realized Gain (Loss) FromNet Change in Unrealized

Appreciation/Depreciation on

BNA BKT BNA BKT

Interest rate contracts:Financial futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,403,516 $(11,396,693) $(153,120) $ 157,699Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,403,606) 503,189 (821,493) (865,533)Options1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 275,605 — 440,309 —

Foreign currency exchange contracts:Foreign currency transactions/translations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,491,967) — 515,078 —

Credit contracts:Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (39,974) — 7,973 —

Total $(1,256,426) $(10,893,504) $ (11,253) $(707,834)

1 Options purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation/depreciation on investments.

For the year ended August 31, 2014, the average quarterly balances of outstanding derivative financial instruments were as follows:

BHK HYT BNA BKT

Financial futures contracts:Average number of contracts purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 492 282 486 92Average number of contracts sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 465 719 475 1,371Average notional value of contracts purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 78,605,312 $ 2,303,1932 $ 78,460,026 $ 10,957,840Average notional value of contracts sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 64,088,264 $ 74,194,972 $ 65,243,943 $215,862,154

Forward foreign currency exchange contracts:Average number of contracts — US dollars purchased . . . . . . . . . . . . . . . . . . . . . . . 3 18 3 —Average number of contracts — US dollars sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 6 1 —Average US dollar amounts purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 14,538,535 $249,460,801 $ 15,234,500 $ —Average US dollar amounts sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 724,647 $ 4,418,150 $ 648,999 $ —

Options:Average number of option contracts purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 2,054 — —Average number of option contracts written . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 4,8132 — —Average notional amount of option contracts purchased . . . . . . . . . . . . . . . . . . . . . — $ 35,787,522 — —Average notional amount of option contracts written . . . . . . . . . . . . . . . . . . . . . . . . — $ 87,723,7502 — —Average number of swaption contracts purchased . . . . . . . . . . . . . . . . . . . . . . . . . . 8 — 8 —Average number of swaption contracts written . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23 — 23 —Average notional amount of swaption contracts purchased . . . . . . . . . . . . . . . . . . . $118,800,000 — $119,050,000 —Average notional amount of swaption contracts written . . . . . . . . . . . . . . . . . . . . . . $154,925,000 — $155,225,000 —

Credit default swaps:Average number of contracts — buy protection . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 5 2 —Average number of contracts — sell protection. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 39 7 —Average notional amount — buy protection . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 3,201,000 $ 1,598,949 $ 3,200,000 —Average notional amount — sell protection . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 3,991,250 $ 38,477,627 $ 4,016,250 —

Interest rate swaps:Average number of contracts — pays fixed rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8 — 8 1Average number of contracts — receives fixed rate . . . . . . . . . . . . . . . . . . . . . . . . . . 7 — 7 7Average notional amount — pays fixed rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 82,675,000 — $ 82,800,000 $ 60,000,000Average notional amount — receives fixed rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 14,225,000 — $ 14,250,000 $ 71,565,000

2 Average amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter.



Counterparty Credit Risk: A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in themarket rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

The Trusts’ risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateralheld by such Trust. For OTC options purchased, each Trust bears the risk of loss of the amount of the premiums paid plus the positive change in marketvalues net of any collateral held by such Trust should the counterparty fail to perform under the contracts. Options written by the Trusts do not typically giverise to counterparty credit risk, as options written generally obligate the Trusts, and not the counterparty, to perform.

With exchange-traded purchased options and futures and centrally cleared swaps, there is less counterparty credit risk to the Trusts since the exchange orclearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller ofthe contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Trusts do not have acontractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing brokeror clearinghouse. Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that isheld in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that aclearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearingbroker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting inlosses to the Trusts.

In order to better define their contractual rights and to secure rights that will help the Trusts mitigate their counterparty risk, the Trusts may enter into anInternational Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its counterparties. An ISDAMaster Agreement is a bilateral agreement between each Trust and a counterparty that governs certain OTC derivatives and typically contains, among otherthings, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Trustmay, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral heldand/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event ofdefault including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit theright of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contractsprior to maturity in the event the Trusts’ net assets decline by a stated percentage or the Trusts fail to meet the terms of its ISDA Master Agreements. Theresult would cause the Trusts to accelerate payment of any net liability owed to the counterparty.

Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Trusts andthe counterparty.

Cash collateral that has been pledged to cover obligations of the Trusts and cash collateral received from the counterparty, if any, is reported separately onthe Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by theTrusts, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transferamount threshold (e.g., $500,000) before a transfer is required, which is determined at the close of business of the Trusts. Any additional requiredcollateral is delivered to/pledged by the Trusts on the next business day. Typically, the Trusts and counterparties are not permitted to sell, re-pledge or usethe collateral they receive. To the extent amounts due to the Trusts from their counterparties are not fully collateralized, the Trusts bear the risk of loss fromcounterparty non-performance. Likewise, to the extent the Trusts have delivered collateral to a counterparty and stands ready to perform under the terms ofits agreement with such counterparty, the Trusts bear the risk of loss from a counterparty in the amount of the value of the collateral in the event thecounterparty fails to return such collateral.

For financial reporting purposes, the Trusts do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in theStatements of Assets and Liabilities.



As of August 31, 2014, the Trusts’ derivative assets and liabilities (by type) are as follows:

BHK HYT

Assets Liabilities Assets Liabilities

Derivative Financial Instruments:Financial futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 20,000 $ 40,558 — $ 155,496Forward foreign currency exchange contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 395,247 5,496 $ 7,247,593 304,747Options1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 954,199 2,580,908 — —Swaps — Centrally cleared . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 3,203 — —Swaps — OTC2. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 249,510 260,720 2,814,373 368,840

Total derivative assets and liabilities in the Statements of Assets and Liabilities . . . . . $1,618,956 $2,890,885 $10,061,966 $ 829,083

Derivatives not subject to a master netting agreement or similar agreement (“MNA”). . (20,000) (43,761) — (155,496)

Total derivative assets and liabilities subject to an MNA . . . . . . . . . . . . . . . . . . . . . . . $1,598,956 $2,847,124 $10,061,966 $ 673,587

BNA BKT

Assets Liabilities Assets Liabilities

Derivative Financial Instruments:Financial futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 18,125 $ 51,432 $ 156,594 $ 13,606Forward foreign currency exchange contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 393,776 — — —Options1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 954,199 2,588,336 — —Swaps — Centrally cleared . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 1,758 20 —Swaps — OTC2. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 250,887 261,668 5,032,194 6,832,450

Total derivative assets and liabilities in the Statements of Assets and Liabilities . . . . . $1,616,987 $2,903,194 $5,188,808 $6,846,056

Derivatives not subject to an MNA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (18,125) (53,190) (156,614) (13,606)

Total derivative assets and liabilities subject to an MNA . . . . . . . . . . . . . . . . . . . . . . . $1,598,862 $2,850,004 $5,032,194 $6,832,450

1 Includes options purchased at value which is included in Investments at value — unaffiliated in the Statements of Assets and Liabilities and reported in the Schedules of Investments.2 Includes unrealized appreciation/depreciation on OTC swaps and swap premiums paid/received in the Statements of Assets and Liabilities.

The following tables present the Trusts’ derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of therelated collateral received and pledged by the Trusts as of August 31, 2014:

BHK

Counterparty

Derivative AssetsSubject to an MNA

by Counterparty

DerivativesAvailablefor Offset3



Net Amountof Derivative

Assets4

Bank of America N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 324,992 $ (6,993) — — $317,999Barclays Bank PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 205,406 (205,406) — — —Citibank N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43,407 (43,407) — — —Credit Suisse International . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30,432 (30,432) — — —Deutsche Bank AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 700,325 (700,325) — — —Goldman Sachs Bank USA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24,822 (24,822) — — —JPMorgan Chase Bank N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 211,943 (211,943) — — —Morgan Stanley Capital Services LLC . . . . . . . . . . . . . . . . . . . . . . . 57,629 (38,721) — — 18,908

Total $1,598,956 $(1,262,049) — — $336,907

BHK

Counterparty

Derivative LiabilitiesSubject to an MNA

by Counterparty

DerivativesAvailable

for Offset3


CashCollateralPledged5

Net Amountof DerivativeLiabilities6

Bank of America N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 6,993 $ (6,993) — — —Barclays Bank PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 681,786 (205,406) — $ (476,380) —BNP Paribas S.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35,272 — — — $ 35,272Citibank N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 181,780 (43,407) — — 138,373Credit Suisse International . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 125,015 (30,432) — — 94,583Deutsche Bank AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 963,524 (700,325) — — 263,199Goldman Sachs Bank USA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34,133 (24,822) — — 9,311JPMorgan Chase Bank N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 779,900 (211,943) — (567,957) —Morgan Stanley Capital Services LLC . . . . . . . . . . . . . . . . . . . . . . . 38,721 (38,721) — — —

Total $2,847,124 $(1,262,049) — $(1,044,337) $540,738

3 The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.4 Net amount represents the net amount receivable from the counterparty in the event of default.5 Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.6 Net amount represents the net amount payable due to the counterparty in the event of default.



HYT

Counterparty


by Counterparty



CashCollateralReceived2


Assets3

Bank of America N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,157,816 — — — $2,157,816Citibank N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,054,775 $ (5,701) — — 5,049,074Deutsche Bank AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,627,373 (857) — $(1,626,516) —Goldman Sachs International . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 982,109 (368,840) — (613,269) —UBS AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 239,893 (22,921) — — 216,972

Total $10,061,966 $(398,319) — $(2,239,785) $7,423,862

HYT

Counterparty


by Counterparty


for Offset1


CashCollateralPledged


Citibank N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 5,701 $ (5,701) — — —Deutsche Bank AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 857 (857) — — —Goldman Sachs Bank USA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52,521 — — — $ 52,521Goldman Sachs International . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 368,840 (368,840) — — —JPMorgan Chase Bank N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,167 — — — 20,167Royal Bank of Scotland PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,728 — — — 1,728State Street Bank and Trust Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . 51,485 — — — 51,485The Bank of New York Mellon . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,813 — — — 7,813Toronto — Dominion Bank . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 141,554 — — — 141,554UBS AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,921 (22,921) — — —

Total $673,587 $(398,319) — — $275,268

BNA

Counterparty


by Counterparty


for Offset1




Assets3

Bank of America N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 323,713 $ (1,497) — — $322,216Barclays Bank PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 205,406 (205,406) — — —Citibank N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43,769 (43,769) — — —Credit Suisse International . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30,970 (30,970) — — —Deutsche Bank AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 700,306 (700,306) — — —Goldman Sachs Bank USA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24,822 (24,822) — — —JPMorgan Chase Bank N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 211,751 (211,751) — — —Morgan Stanley Capital Services LLC . . . . . . . . . . . . . . . . . . . . . . . 58,125 (39,060) — — 19,065

Total $1,598,862 $(1,257,581) — — $341,281

BNA

Counterparty


by Counterparty


for Offset1




Bank of America N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,497 $ (1,497) — — —Barclays Bank PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 688,060 (205,406) — $ (20,000) $ 462,654BNP Paribas S.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35,272 — — — 35,272Citibank N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 182,057 (43,769) — — 138,288Credit Suisse International . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 125,392 (30,970) — — 94,422Deutsche Bank AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 958,401 (700,306) — — 258,095Goldman Sachs Bank USA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34,133 (24,822) — — 9,311JPMorgan Chase Bank N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 786,132 (211,751) — (570,000) 4,381Morgan Stanley Capital Services LLC . . . . . . . . . . . . . . . . . . . . . . . 39,060 (39,060) — — —

Total $2,850,004 $(1,257,581) — $(590,000) $1,002,423

1 The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.2 Excess of collateral received from the individual counterparty is not shown for financial reporting purposes.3 Net amount represents the net amount receivable from the counterparty in the event of default.4 Net amount represents the net amount payable due to the counterparty in the event of default.5 Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.



BKT

Counterparty


by Counterparty


Non-cashCollateralReceived2

CashCollateralReceived2


Assets

Citibank N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 661,695 — — $ (661,695) —Goldman Sachs Bank USA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 335,111 — — (335,111) —JPMorgan Chase Bank N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,409,054 $(183,998) — (3,225,056) —UBS AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 626,334 — $(626,334) — —

Total $5,032,194 $(183,998) (626,334) $(4,221,862) —

BKT

Counterparty


by Counterparty


for Offset1




Liabilities

Deutsche Bank AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $6,648,452 — — $(6,648,452) —JPMorgan Chase Bank N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 183,998 $(183,998) — — —

Total $6,832,450 $(183,998) — $(6,648,452) —

1 The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.2 Excess of collateral received from the individual counterparty is not shown for financial reporting purposes.3 Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

5. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate, for 1940 Act purposes, BlackRock, Inc. (“BlackRock”).

Each Trust entered into an Investment Advisory Agreement with the Manager, the Trusts’ investment advisor, an indirect, wholly owned subsidiary ofBlackRock, to provide investment advisory services for each Trust and administration services for BHK and HYT.

The following Trust’s investment advisory fee paid to the Manager is computed weekly and payable monthly based on an annual rate of it’s average totalassets (including any assets attributable to borrowings) minus the sum of total liabilities (other than debt representing financial leverage):

BHK . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.55%

The following Trust’s investment advisory fee paid to the Manager is computed daily and payable monthly based on an annual rate of it’s average totalassets (including any assets attributable to borrowings) minus the sum of total liabilities (other than debt representing financial leverage):

HYT . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.60%

Prior to November 18, 2013, HYT paid the Manager an investment advisory fee computed and paid monthly based on an annual rate of 0.70%.

The following Trusts’ investment advisory fee paid to the Manager is computed weekly and payable monthly based on an annual rate of each Trust’saverage net assets:

BNA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.60%BKT . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.65%

BNA and BKT each have an Administration Agreement with the Manager. The administration fee paid to the Manager is computed weekly and payablemonthly based on an annual rate, 0.10% for BNA, and 0.15% for BKT, of each Trust’s average net assets.

The Manager voluntarily agreed to waive a portion of investment advisory fee with respect to BHK at an annual rate of 0.03%, as a percentage of averageweekly net assets. This voluntary waiver may be reduced or discontinued at any time without notice. For the year ended August 31, 2014, the Managerwaived $169,106, which is included in fees waived by Manager in the Statements of Operations for BHK.

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Trust pays to the Manager indirectlythrough its investment in affiliated money market funds. However, the Manager does not waive its investment advisory fees by the amount of investmentadvisory fees paid in connection with each Trust’s investment in other affiliated investment companies, if any. These amounts are included in fees waivedby Manager in the Statements of Operations. For the year ended August 31, 2014, the amounts waived were as follows:

BHK . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $3,706HYT . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,724BNA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $3,720BKT . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $7,128



The Manager provides investment management and other services to the Taxable Subsidiaries. The Manager does not receive separate compensation fromthe Taxable Subsidiaries for providing investment management or administrative services. However, HYT pays the Manager based on the HYT’s net assets,which includes the assets of the Taxable Subsidiaries.

Prior to July 1, 2014, BlackRock Financial Management, Inc. (“BFM”), an affiliate of the Manager, served as a sub-advisor to each Trust pursuant tosub-advisory agreements with the Manager, and received for its services a monthly fee from the Manager at an annual rate equal to a percentage of theinvestment advisory fees paid by each Trust to the Manager under the Investment Advisory Agreements. Effective July 1, 2014, the sub-advisoryagreements between the Manager and BFM, with respect to each Trust, expired.

Certain officers and/or Trustees of the Trusts are officers and/or directors of BlackRock or its affiliates. The Trusts reimburse the Manager for a portion ofthe compensation paid to the Trusts’ Chief Compliance Officer, which is included in Officer and Trustees in the Statements of Operations.

The Trusts may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investmentadvisor, common officers, or common trustees. For the year ended August 31, 2014, the purchase and sale transactions with an affiliated fund incompliance with Rule 17a-7 under the 1940 Act were as follows:

HYT BNA

Sales . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $608,065 $15,881

6. Purchases and Sales:

Purchases and sales of investments including paydowns, mortgage dollar roll and TBA transactions and excluding short-term securities for the year endedAugust 31, 2014 were as follows:

Purchases

BHK HYT BNA BKT

Non-U.S. Government Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $462,182,025 $1,253,498,361 $453,201,516 $1,712,583,875U.S. Government Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,677,813 — 19,816,559 63,320,043

Total Purchases . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $480,859,838 $1,253,498,361 $473,018,075 $1,775,903,918

Sales

BHK HYT BNA BKT

Non-U.S. Government Securities (includes paydowns) . . . . . . . . . . . . . . . . . . . . $455,346,251 $1,260,736,919 $444,466,865 $1,675,437,631U.S. Government Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,737,091 — 9,506,669 66,814,601

Total Sales . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $466,083,342 $1,260,736,919 $453,973,534 $1,742,252,232

Purchases and sales related to mortgage dollar rolls for the year ended August 31, 2014 were as follows:

BHK HYT BNA BKT

Purchases . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $190,983,903 — $191,002,019 $887,952,427Sales . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $191,490,455 — $191,508,600 $888,423,017

7. Income Tax Information:

It is each Trust’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investmentcompanies, and to distribute substantially all of their taxable income to their shareholders. Therefore, no federal income tax provision is required.

Each Trust files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on theTrusts’ U.S. federal tax returns remains open for each of the four years ended August 31, 2014. The statutes of limitations on each Trust’s state and localtax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Trusts’ facts and circumstances and does not believe that there are anyuncertain tax positions that require recognition of a tax liability.



U.S. GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. Thesereclassifications have no effect on net assets or net asset values per share. As of August 31, 2014 the following permanent differences attributable to theaccounting for swap agreements, amortization methods on fixed income securities, the classification of settlement proceeds, foreign currencytransactions, non-deductible expenses, limitations on the utilization of capital loss carryforwards, income recognized from investments in partnerships, netpaydowns losses and dividends recognized for tax purposes were reclassified to the following accounts:

BHK HYT BNA BKT

Paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ (226,142) $(27,300,771) $ (77,383) $ (267,805)Undistributed net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $(1,123,191) $ (362,339) $(1,171,206) $ 3,876,821Undistributed net realized loss . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,349,333 $ 27,663,110 $ 1,248,589 $(3,609,016)

The tax character of distributions paid was as follows:

BHK HYT BNA BKT

Ordinary income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8/31/14 $24,499,913 $101,824,719 $24,601,850 $27,623,1798/31/13 $25,416,860 $ 39,195,248 $23,740,439 $30,628,476

Total 8/31/14 $24,499,913 $101,824,719 $24,601,850 $27,623,179

8/31/13 $25,416,860 $ 39,195,248 $23,740,439 30,628,476

As of August 31, 2014, the tax components of accumulated net earnings (losses) were as follows:

BHK HYT BNA BKT

Undistributed ordinary income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 3,384,596 $ 14,048,854 $ 3,388,834 $ 9,391,147Capital loss carryforwards . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (5,935,470) (160,563,172) (13,935,671) (15,439,200)Net unrealized gains1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35,894,670 63,429,489 35,580,135 3,128,666Qualified late-year loss2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — — (10,422,543)

Total $33,343,796 $ (83,084,829) $ 25,033,298 $(13,341,930)

1 The differences between book-basis and tax-basis net unrealized gains were attributable primarily to the tax deferral of losses on wash sales, amortization methods for premiumsand discounts on fixed income securities, the accrual of income on securities in default, the realization for tax purposes of unrealized gains/losses on certain futures and foreigncurrency contracts, the accounting for swap agreements, the realization for tax of unrealized gains investments in passive foreign investment companies, the investment in awholly owned subsidiary, dividends recognized for tax purposes, the classification of investments and the deferral of compensation to trustees.

2 The Trust has elected to defer certain qualified late year losses and recognize such losses in the next taxable year.

As of August 31, 2014, the Trusts had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates asfollows:

Expires July 31, BHK HYT BNA BKT

2015 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — $ 5,594,580 — —2016 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 4,056,597 — —2017 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $5,935,470 95,246,388 $ 2,971,033 —2018 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 55,665,607 10,964,638 —No expiration date3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — — $15,439,200

Total $5,935,470 $160,563,172 $13,935,671 $15,439,2003 Must be utilized prior to losses subject to expiration.

During the year ended August 31, 2014, the Trusts listed below utilized the following amounts of their respective capital loss carryforwards:

BHK HYT BNA

$4,422,075 $45,974,238 $4,589,943

As of August 31, 2014, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

BHK HYT BNA BKT

Tax cost . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $561,453,510 $2,328,993,637 $563,020,008 $756,270,127

Gross unrealized appreciation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 40,700,073 $ 119,249,661 $ 41,570,516 $ 29,865,577Gross unrealized depreciation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (4,963,357) (60,657,357) (6,066,398) (24,891,205)

Net unrealized appreciation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 35,736,716 $ 58,592,304 $ 35,504,118 $ 4,974,372



8. Borrowings:

HYT is party to a senior committed secured, 360-day rolling line of credit facility and a separate security agreement (the “SSB Agreement”) with StateStreet Bank and Trust Company (“SSB”). SSB may elect to terminate its commitment upon 360-days written notice to HYT. HYT has granted a securityinterest in substantially all of its assets to SSB.

The SSB Agreement allows for a maximum commitment amount of $798,000,000 for HYT.

Advances will be made by SSB to HYT, at the HYT’s option of (a) the higher of (i) 0.80% above the Fed Funds rate and (ii) 0.80% above the Overnight LIBORor (b) 0.80% above 7-day, 30-day, 60-day or 90-day LIBOR.

In addition, HYT pays a facility fee and utilization fee (based on the daily unused portion of the commitments). The commitment fees are waived if HYTmeets certain conditions. The fees associated with the agreement, if any, is included in the Statements of Operations as borrowing costs. Advances to HYTas of August 31, 2014 are shown in the Statements of Assets and Liabilities as bank borrowings payable. Based on the short-term nature of theborrowings under the line of credit and the variable interest rate, the carrying amount of the borrowings approximates fair value.

HYT may not declare dividends or make other distributions on shares or purchase any such shares if, at the time of the declaration, distribution orpurchase, asset coverage with respect to the outstanding short-term borrowings is less than 300%.

For the year ended August 31, 2014, the daily weighted average interest rates for HYT with loans under the revolving credit agreements was 0.91%.

9. Concentration, Market and Credit Risk:

In the normal course of business, the Trusts invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk)or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Trusts may decline in response tocertain events, including those directly involving the issuers whose securities are owned by the Trusts; conditions affecting the general economy; overallmarket changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuercredit risk, the Trusts may be exposed to counterparty credit risk, or the risk that an entity with which the Trusts have unsettled or open transactions may failto or be unable to perform on its commitments. The Trusts manage counterparty credit risk by entering into transactions only with counterparties that theybelieve have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, whichpotentially expose the Trusts to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due fromcounterparties. The extent of the Trusts’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is generallyapproximated by their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Trusts.

The Trusts invest a significant portion of its assets in fixed-income securities and/or uses derivatives tied to the fixed-income markets. See the Schedulesof Investments for these securities and/or derivatives. Changes in market interest rates or economic conditions, including the Federal Reserve’s decision inDecember 2013 to taper its quantitative easing policy, may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices ofbonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise. The Fund may be subject to a greater risk ofrising interest rates due to the current period of historically low rates.

Certain Trusts invest a significant portion of their assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgageand other asset-backed securities. Please see the Schedules of Investments for these securities. Changes in economic conditions, including delinquenciesand/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions.

10. Capital Share Transactions:

BHK is authorized to issue an unlimited number of shares, par value $0.001, all of which were initially classified as Common Shares. BNA and BKT areauthorized to issue 200 million shares, par value $0.01, all of which were initially classified as Common Shares. HYT is authorized to issue 200 millionshares, par value $0.10, all of which were initially classified as Common Shares. The Board is authorized, however, to reclassify any unissued shareswithout approval of Common Shareholders.

For the years shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:

Year Ended August 31, BHK HYT

2014 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — —2013 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,416 39,051

Shares issued and outstanding increased 91,181,428 due to the reorganization during the year ended August 31, 2014 for HYT.

Shares issued and outstanding remained constant during the year ended August 31, 2014 and the year ended August 31, 2013 for BNA and BKT.



During the current reporting period, HYT filed an initial registration statement with the U.S. Securities and Exchange Commission (“SEC”) allowing it toissue additional Common Shares through an equity shelf program (a “Shelf Offering”), which is not yet effective. HYT may not sell any Common Shares inthe Shelf Offering until the registration statement filed with the SEC is effective. Under the Shelf Offering, HYT, subject to market conditions, may raiseadditional equity capital from time to time in varying amounts and utilizing various offering methods at a net price at or above HYT’s net asset value (“NAV”)per Common Share (calculated within 48 hours of pricing). Please see Additional Information — Shelf Offering Program for additional information aboutthe Shelf Offering.

Costs incurred by HYT in connection with the Shelf Offering are recorded as a deferred charge and amortized over 12 months.

11. Subsequent Events:

Management has evaluated the impact of all subsequent events on the Trusts’ through the date the financial statements were issued and has determinedthat there were no subsequent events requiring adjustment or additional disclosure in the financial statements.

The Trusts paid a net investment income dividend on September 30, 2014 to shareholders of record on September 15, 2014 as follows:

Common DividendPer Share

BHK . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $0.0755HYT . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $0.0755BNA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $0.0595BKT . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $0.0350

Additionally, the Trusts declared a net investment income dividend on October 1, 2014 payable to shareholders of record on October 15, 2014 for thesame amounts noted above.

At a special meeting of shareholders on September 30, 2014, the shareholders of the BHK and BNA approved its respective reorganization. OnOctober 16, 2014, the Manager announced special distributions in connection with the reorganization. BHK and BNA will pay an income distributionon October 31, 2014 to shareholders of record as of October 27, 2014 as follows:

DistributionPer Share

BHK. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $0.1700BNA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $0.1650

At a special meeting of shareholders on September 30, 2014, the reorganization of BKT with and into BHK was not approved by BKT shareholders.Consequently, the reorganization of BKT with and into BHK will not be completed.

Notes to Financial Statements (concluded)


To the Shareholders and Board of Trustees/Directors of BlackRock Core Bond Trust,BlackRock Corporate High Yield Fund, Inc. (formerly known as BlackRock Corporate High Yield Fund VI, Inc.),BlackRock Income Opportunity Trust, Inc., BlackRock Income Trust, Inc.:

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of BlackRock Core Bond Trust, BlackRockIncome Opportunity Trust, Inc., and BlackRock Income Trust, Inc. (collectively the “Funds”) as of August 31, 2014, and the related statements ofoperations and cash flows for the year then ended, and the statements of changes in net assets for each of the two years in the period then ended, and thefinancial highlights for each of the years in the five-year period then ended. We have also audited the consolidated statement of assets and liabilities,including the consolidated schedule of investments of BlackRock Corporate High Yield Fund, Inc., (collectively with the Funds mentioned above, the“Trusts”) as of August 31, 2014, and the related consolidated statements of operations and cash flows for the year then ended, the consolidatedstatements of changes in net assets for each of the two years in the period then ended, and the consolidated financial highlights for each of the years inthe five-year period then ended. These financial statements and financial highlights are the responsibility of the Trusts’ management. Our responsibility isto express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards requirethat we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of materialmisstatement. The Trusts are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our auditsincluded consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, butnot for the purpose of expressing an opinion on the effectiveness of the Trusts’ internal control over financial reporting. Accordingly, we express no suchopinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing theaccounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Ourprocedures included confirmation of securities owned as of August 31, 2014, by correspondence with the custodian, brokers, and agent banks; wherereplies were not received from brokers or agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis forour opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial positions ofBlackRock Core Bond Trust, BlackRock Income Opportunity Trust, Inc., and BlackRock Income Trust, Inc., the results of their operations and their cashflows for the year then ended, the changes in their net assets for each of the two years in the period then ended, and their financial highlights for each theyears in the five-year period then ended, and the consolidated financial position of BlackRock Corporate High Yield Fund, Inc., as of August 31, 2014, theconsolidated results of its operations and its cash flows for the year then ended, the consolidated changes in its net assets for each of the two years in theperiod then ended, and its consolidated financial highlights for each of the years in the five-year period then ended, in conformity with accountingprinciples generally accepted in the United States of America.

As discussed in Note 1 to the financial statements, on June 6, 2014, the Board of BlackRock Core Bond Trust and the Boards of BlackRock IncomeOpportunity Trust, Inc., and BlackRock Income Trust, Inc. (each individually, a “Target Fund”) approved the reorganizations of each Target Fund intoBlackRock Core Bond Trust (“the Surviving Fund”). As discussed in Note 11, on September 30, 2014, the shareholders of BlackRock Core Bond Trust andBlackRock Income Opportunities Trust, Inc., approved their respective reorganization.

Deloitte & Touche LLPBoston, MassachusettsOctober 24, 2014

Report of Independent Registered Public Accounting Firm


The following information is provided with respect to the ordinary income distributions paid by the Trusts during the fiscal year ended August 31, 2014.

Payable Dates BHK HYT BNA BKT

Interest-Related Dividends for Non-US Residents1 . . . . . . . . September 2013 – January 2014 85.83% 75.19% 84.00% 91.80%February 2014 – August 2014 78.02% 72.93% 80.05% 96.26%

Qualified Dividend Income for Individuals . . . . . . . . . . . . . . September 2013 – January 2014 — 1.19% — —February 2014 – August 2014 8.07% 5.60% 8.98% —

Dividends Qualifying for the Dividend Received Deductionfor Corporations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . September 2013 – January 2014 — 0.99% — —

February 2014 – August 2014 3.58% 3.23% 6.51% —

Federal Obligation Interest2 . . . . . . . . . . . . . . . . . . . . . . . . September 2013 – August 2014 6.02% — 5.53% —

1 Represents the portion of the taxable ordinary income dividends eligible for exemption from US withholding tax for nonresident aliens and foreign corporations.2 The law varies in each state as to whether and what percentage of dividend income attributable to federal obligations is exempt from state income tax. We recommend that you

consult your tax advisor to determine if any portion of the dividends you received is exempt from state income taxes.

Important Tax Information (Unaudited)


The Board of Directors or Trustees, as applicable (each, a “Board,” collectively, the “Boards,” and the members of which are referred to as “BoardMembers”) of BlackRock Core Bond Trust (“BHK”), BlackRock Corporate High Yield Fund, Inc. (“HYT”), BlackRock Income Opportunity Trust, Inc. (“BNA”)and BlackRock Income Trust, Inc. (“BKT” and together with BHK, HYT and BNA, each a “Fund,” and, collectively, the “Funds”) met in person on May 9,2014 (the “May Meeting”) and June 5-6, 2014 (the “June Meeting”) to consider the approval of each Fund’s investment advisory agreement (each, an“Advisory Agreement,” and, collectively, the “Advisory Agreements”) with BlackRock Advisors, LLC (the “Manager”), each Fund’s investment advisor. At theJune Meeting, it was noted that the sub-advisory agreement among the Manager, BlackRock Financial Management, Inc. and each Fund would expireeffective July 1, 2014. It was also noted that the non-renewal of each Fund’s sub-advisory agreement would not result in any change in the nature orquality of services provided to such Fund, or in the portfolio management team that serves such Fund. The Manager is referred to herein as “BlackRock.”

Activities and Composition of the Board

Each Board consists of eleven individuals, nine of whom are not “interested persons” of such Fund as defined in the Investment Company Act of 1940(the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of the Funds and performthe various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legalcounsel to assist them in connection with their duties. The Chairman of each Board is an Independent Board Member. Each Board has established sixstanding committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight Committee,an Executive Committee, and a Leverage Committee, each of which is chaired by an Independent Board Member and composed of Independent BoardMembers (except for the Executive Committee and the Leverage Committee, each of which also has one interested Board Member).

The Advisory Agreements

Pursuant to the 1940 Act, the Boards are required to consider the continuation of the Advisory Agreements on an annual basis. The Boards have four quarterlymeetings per year, each extending over two days, and a fifth one-day meeting to consider specific information surrounding the consideration of renewing theAdvisory Agreements. In connection with this process, the Boards assessed, among other things, the nature, scope and quality of the services provided to theFunds by BlackRock, its personnel and its affiliates, including, as applicable, investment management, administrative, and shareholder services; oversight offund service providers; marketing services; risk oversight; compliance and assistance in meeting applicable legal and regulatory requirements.

The Boards, acting directly and through their respective committees, consider at each of their meetings, and from time to time as appropriate, factors thatare relevant to their annual consideration of the renewal of the Advisory Agreements, including the services and support provided by BlackRock to theFunds and their shareholders. Among the matters the Boards considered were: (a) investment performance for one-year, three-year, five-year and/orsince inception periods, as applicable, against peer funds, and applicable benchmarks, if any, as well as senior management’s and portfolio managers’analysis of the reasons for any over-performance or underperformance against their peers and/or benchmark, as applicable; (b) fees, including advisory,administration, if applicable, and other amounts paid to BlackRock and its affiliates by the Funds for services such as call center; (c) Fund operatingexpenses and how BlackRock allocates expenses to the Funds; (d) the resources devoted to, risk oversight of, and compliance reports relating to,implementation of the Funds’ investment objective, policies and restrictions, and meeting new regulatory requirements; (e) the Funds’ compliance withtheir Code of Ethics and other compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided byBlackRock and its affiliates; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’simplementation of the proxy voting policies approved by the Boards; (i) execution quality of portfolio transactions; (j) BlackRock’s implementation of theFunds’ valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment objectives across the open-end fund,closed-end fund and institutional account product channels, as applicable; (l) BlackRock’s compensation methodology for its investment professionalsand the incentives it creates; and (m) periodic updates on BlackRock’s business.

The Boards have engaged in an ongoing strategic review with BlackRock of opportunities to consolidate funds and of BlackRock’s commitment toinvestment performance. BlackRock also furnished information to the Boards in response to specific questions. These questions covered issues such as:BlackRock’s profitability; investment performance; subadvisory and advisory relationships with other clients (including mutual funds sponsored by thirdparties); investment professional investment in funds they manage; and management fee levels and breakpoints. The Boards further discussed withBlackRock: BlackRock’s management structure; portfolio turnover; BlackRock’s portfolio manager compensation and performance accountability;marketing support for the Funds; services provided to the Funds by BlackRock affiliates; and BlackRock’s oversight of relationships with third partyservice providers.

Board Considerations in Approving the Advisory Agreements

The Approval Process: Prior to the May Meeting, the Boards requested and received materials specifically relating to the Advisory Agreements. The Boardsare continuously engaged in a process with their independent legal counsel and BlackRock to review the nature and scope of the information provided tobetter assist their deliberations. The materials provided in connection with the May Meeting included (a) information independently compiled andprepared by Lipper, Inc. (“Lipper”) on Fund fees and expenses as compared with a peer group of funds as determined by Lipper (“Expense Peers”) and theinvestment performance of the Funds as compared with a peer group of funds as determined by Lipper1, as well as the investment performance of each of

1 Funds are ranked by Lipper in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable.

Disclosure of Investment Advisory Agreements


BHK, BNA and BKT as compared with its custom benchmark; (b) information on the profits realized by BlackRock and its affiliates pursuant to the AdvisoryAgreements and a discussion of fall-out benefits to BlackRock and its affiliates; (c) a general analysis provided by BlackRock concerning investmentmanagement fees charged to other clients, such as institutional clients and open-end funds, under similar investment mandates, as applicable; (d) reviewof non-management fees; (e) the existence, impact and sharing of potential economies of scale; (f) a summary of aggregate amounts paid by each Fundto BlackRock and (g) if applicable, a comparison of management fees to similar BlackRock closed-end funds, as classified by Lipper.

At the May Meeting, the Boards reviewed materials relating to their consideration of the Advisory Agreements. As a result of the discussions that occurredduring the May Meeting, and as a culmination of the Boards’ year-long deliberative process, the Boards presented BlackRock with questions and requestsfor additional information. BlackRock responded to these requests with additional written information in advance of the June Meeting.

At the June Meeting, each Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreements betweenthe Manager and its Fund for a one-year term ending June 30, 2015. In approving the continuation of the Advisory Agreements, the Boards considered:(a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Funds and BlackRock; (c) the advisory feeand the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with the Funds; (d) the Funds’ costs to investorscompared to the costs of Expense Peers and performance compared to the relevant performance comparison as previously discussed; (e) economiesof scale; (f) fall-out benefits to BlackRock and its affiliates as a result of its relationship with the Funds; and (g) other factors deemed relevant by theBoard Members.

The Boards also considered other matters they deemed important to the approval process, such as payments made to BlackRock or its affiliates relating tosecurities lending, services related to the valuation and pricing of Fund portfolio holdings, direct and indirect benefits to BlackRock and its affiliates fromtheir relationship with the Funds and advice from independent legal counsel with respect to the review process and materials submitted for the Boards’review. The Boards noted the willingness of BlackRock personnel to engage in open, candid discussions with the Boards. The Boards did not identify anyparticular information as determinative, and each Board Member may have attributed different weights to the various items considered.

A. Nature, Extent and Quality of the Services Provided by BlackRock: The Boards, including the Independent Board Members, reviewed the nature, extentand quality of services provided by BlackRock, including the investment advisory services and the resulting performance of the Funds. Throughout the year,each Board compared its Fund’s performance to the performance of a comparable group of closed-end funds and/or the performance of a relevantbenchmark, as applicable. The Boards met with BlackRock’s senior management personnel responsible for investment activities, including the seniorinvestment officers. Each Board also reviewed the materials provided by its Fund’s portfolio management team discussing the Fund’s performance and theFund’s investment objective, strategies and outlook.

The Boards considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally andtheir Funds’ portfolio management teams; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology;commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfoliomanagers and other research, advisory and management personnel. The Boards engaged in a review of BlackRock’s compensation structure with respectto the Funds’ portfolio management teams and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.

In addition to advisory services, the Boards considered the quality of the administrative and other non-investment advisory services provided to the Funds.BlackRock and its affiliates provide the Funds with certain services (in addition to any such services provided to the Funds by third parties) and officersand other personnel as are necessary for the operations of the Funds. In particular, BlackRock and its affiliates provide the Funds with the followingadministrative services including, among others: (i) preparing disclosure documents, such as the prospectus and the statement of additional informationin connection with the initial public offering and periodic shareholder reports; (ii) preparing communications with analysts to support secondary markettrading of the Funds; (iii) oversight of daily accounting and pricing; (iv) preparing periodic filings with regulators and stock exchanges; (v) overseeing andcoordinating the activities of other service providers; (vi) organizing Board meetings and preparing the materials for such Board meetings; (vii) providinglegal and compliance support; (viii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger orconsolidation of certain closed-end funds; and (ix) performing other administrative functions necessary for the operation of the Funds, such as taxreporting, fulfilling regulatory filing requirements and call center services. The Boards reviewed the structure and duties of BlackRock’s fund administration,shareholder services, legal and compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicablelaws and regulations.

B. The Investment Performance of the Funds and BlackRock: Each Board, including the Independent Board Members, also reviewed and considered theperformance history of its Fund. In preparation for the May Meeting, the Boards worked with their independent legal counsel, BlackRock and Lipper todevelop a template for, and were provided with reports independently prepared by Lipper, which included a comprehensive analysis of each Fund’sperformance. The Boards also reviewed a narrative and statistical analysis of the Lipper data that was prepared by BlackRock, which analyzed variousfactors that affect Lipper’s rankings. In connection with its review, each Board received and reviewed information regarding the investment performance,based on net asset value (NAV), of its Fund as compared to other funds in that Fund’s applicable Lipper category, and with respect to BHK, BNA and BKT,the investment performance of the Fund as compared with its respective custom benchmark. The Boards were provided with a description of themethodology used by Lipper to select peer funds and periodically meets with Lipper representatives to review its methodology. Each Board and itsPerformance Oversight Committee regularly review, and meet with Fund management to discuss, the performance of its Fund throughout the year.

Disclosure of Investment Advisory Agreements (continued)


The Board of each of BHK, BNA and BKT noted that for each of the one-, three- and five-year periods reported, its respective Fund’s performance exceededits customized benchmark. BlackRock believes that performance relative to the customized benchmark is an appropriate performance metric for BHK,BNA and BKT.

The Board of HYT noted that for the one-, three- and five-year periods reported, HYT ranked in the first, second and first quartiles, respectively, against itsLipper Performance Universe.

C. Consideration of the Advisory/Management Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from theirRelationship with the Funds: The Board, including the Independent Board Members, reviewed its Fund’s contractual management fee rate compared withthe other funds in its Lipper category. The contractual management fee rate represents a combination of the advisory fee and any administrative fees,before taking into account any reimbursements or fee waivers. The Board also compared the Fund’s total expense ratio, as well as its actual managementfee rate, to those of other funds in its Lipper category. The total expense ratio represents a fund’s total net operating expenses, excluding any investmentrelated expenses. The total expense ratio gives effect to any expense reimbursements or fee waivers that benefit a fund, and the actual management feerate gives effect to any management fee reimbursements or waivers that benefit a fund. The Boards considered the services provided and the fees chargedby BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts.

The Boards received and reviewed statements relating to BlackRock’s financial condition. The Boards were also provided with a profitability analysis thatdetailed the revenues earned and the expenses incurred by BlackRock for services provided to the Funds. The Boards reviewed BlackRock’s profitabilitywith respect to the Funds and other funds the Boards currently oversee for the year ended December 31, 2013 compared to available aggregateprofitability data provided for the prior two years. The Boards reviewed BlackRock’s profitability with respect to certain other fund complexes managed bythe Manager and/or its affiliates. The Boards reviewed BlackRock’s assumptions and methodology of allocating expenses in the profitability analysis,noting the inherent limitations in allocating costs among various advisory products. The Boards recognized that profitability may be affected by numerousfactors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expenseallocations and business mix. As a result, calculating and comparing profitability at individual fund levels is difficult.

The Boards noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Boards reviewed BlackRock’soverall operating margin, in general, compared to that of certain other publicly-traded asset management firms. The Boards considered the differencesbetween BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relativeproduct mix.

In addition, the Boards considered the cost of the services provided to the Funds by BlackRock, and BlackRock’s and its affiliates’ profits relating tothe management of the Funds and the other funds advised by BlackRock and its affiliates. As part of its analysis, the Boards reviewed BlackRock’smethodology in allocating its costs to the management of the Funds. The Boards also considered whether BlackRock has the financial resources necessaryto attract and retain high quality investment management personnel to perform its obligations under the Advisory Agreements and to continue to providethe high quality of services that is expected by the Boards. The Boards further considered factors including but not limited to BlackRock’s commitment oftime, assumption of risk and liability profile in servicing the Funds in contrast to what is required of BlackRock with respect to other products with similarinvestment objectives across the open-end fund, ETF, closed-end fund and institutional account product channels, as applicable.

The Board of BHK noted that BHK’s contractual management fee rate ranked in the second quartile, and that the actual management fee rate and totalexpense ratio each ranked in the second quartile, relative to BHK’s Expense Peers. BHK’s Board also noted that BlackRock had voluntarily agreed to waivea portion of the advisory fee payable by BHK, which was implemented on June 1, 2012. After discussions between the Board of BHK, including theIndependent Board Members, and BlackRock, BHK’s Board and BlackRock agreed to a continuation of the voluntary advisory fee waiver, which will resultin savings to shareholders.

The Board of each of HYT and BKT noted that its respective Fund’s contractual management fee rate ranked in the first quartile, and that the actualmanagement fee rate and total expense ratio each ranked in the first quartile, relative to the Fund’s Expense Peers.

The Board of BNA noted that BNA’s contractual management fee rate ranked in the fourth quartile, and that the actual management fee rate and totalexpense ratio each ranked in the second quartile, relative to BNA’s Expense Peers.

D. Economies of Scale: Each Board, including the Independent Board Members, considered the extent to which economies of scale might be realized asthe assets of its Fund increase. Each Board also considered the extent to which its Fund benefits from such economies and whether there should bechanges in the advisory fee rate or breakpoint structure in order to enable the Fund to participate in these economies of scale, for example through the useof breakpoints in the advisory fee based upon the asset level of the Fund.

Based on the Boards’ review and consideration of the issue, the Boards concluded that most closed-end funds do not have fund level breakpointsbecause closed-end funds generally do not experience substantial growth after the initial public offering. They are typically priced at scale at afund’s inception.

Disclosure of Investment Advisory Agreements (continued)


E. Other Factors Deemed Relevant by the Board Members: The Boards, including the Independent Board Members, also took into account other ancillaryor “fall-out” benefits that BlackRock or its affiliates may derive from their respective relationships with the Funds, both tangible and intangible, such asBlackRock’s ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock’sprofile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Funds, including securities lendingand cash management services. The Boards also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the qualityof, its operations. The Boards also noted that BlackRock may use and benefit from third party research obtained by soft dollars generated by certainregistered fund transactions to assist in managing all or a number of its other client accounts. The Boards further noted that it had considered theinvestment by BlackRock’s funds in exchange traded funds (i.e., ETFs) without any offset against the management fees payable by the funds to BlackRock.

In connection with its consideration of the Advisory Agreements, the Boards also received information regarding BlackRock’s brokerage and soft dollarpractices. The Boards received reports from BlackRock which included information on brokerage commissions and trade execution practices throughoutthe year.

The Boards noted the competitive nature of the closed-end fund marketplace, and that shareholders are able to sell their Fund shares in the secondarymarket if they believe that their Fund’s fees and expenses are too high or if they are dissatisfied with the performance of their Fund.

The Boards also considered the various notable initiatives and projects BlackRock performed in connection with its closed-end fund product line. Theseinitiatives included completion of the refinancing of auction rate preferred securities; developing equity shelf programs; efforts to eliminate productoverlap with fund mergers; ongoing services to manage leverage that has become increasingly complex; share repurchases and other support initiativesfor certain BlackRock funds; and continued communications efforts with shareholders, fund analysts and financial advisers. With respect to the latter, theIndependent Board Members noted BlackRock’s continued commitment to supporting the secondary market for the common shares of its closed-endfunds through a comprehensive secondary market communication program designed to raise investor and analyst awareness and understanding ofclosed-end funds. BlackRock’s support services included, among other things: continuing communications concerning the refinancing efforts related toauction rate preferred securities; sponsoring and participating in conferences; communicating with closed-end fund analysts covering the BlackRock fundsthroughout the year; providing marketing and product updates for the closed-end funds; and maintaining and enhancing its closed-end fund website.

Conclusion

Each Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreements between the Manager and itsFund for a one-year term ending June 30, 2015. Based upon their evaluation of all of the aforementioned factors in their totality, the Boards, including theIndependent Board Members, were satisfied that the terms of the Advisory Agreements were fair and reasonable and in the best interest of the Funds andtheir shareholders. In arriving at their decision to approve the Advisory Agreements, the Boards did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factorsconsidered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination. The contractualfee arrangements for the Funds reflect the results of several years of review by the Board Members and predecessor Board Members, and discussionsbetween such Board Members (and predecessor Board Members) and BlackRock. As a result, the Board Members’ conclusions may be based in part ontheir consideration of these arrangements in prior years.

Disclosure of Investment Advisory Agreements (concluded)


Pursuant to each Trust’s Dividend Reinvestment Plan (the “ReinvestmentPlan”), Common Shareholders are automatically enrolled to have alldistributions of dividends and capital gains reinvested by ComputershareTrust Company, N.A. (the “Reinvestment Plan Agent”) in the respectiveTrust’s shares pursuant to the Reinvestment Plan. Shareholders who donot participate in the Reinvestment Plan will receive all distributions incash paid by check and mailed directly to the shareholders of record (or ifthe shares are held in street or other nominee name, then to the nominee)by the Reinvestment Plan Agent, which serves as agent for theshareholders in administering the Reinvestment Plan.

After the Trusts declare a dividend or determine to make a capital gaindistribution, the Reinvestment Plan Agent will acquire shares for theparticipants’ accounts, depending upon the following circumstances,either (i) through receipt of unissued but authorized shares from the Trusts(“newly issued shares”) or (ii) by purchase of outstanding shares on theopen market or on the Trust’s primary exchange (“open-marketpurchases”). If, on the dividend payment date, the net asset value pershare (“NAV”) is equal to or less than the market price per share plusestimated brokerage commissions (such condition often referred to as a“market premium”), the Reinvestment Plan Agent will invest the dividendamount in newly issued shares acquired on behalf of the participants. Thenumber of newly issued shares to be credited to each participant’saccount will be determined by dividing the dollar amount of the dividendby the NAV on the date the shares are issued. However, if the NAV is lessthan 95% of the market price on the dividend payment date, the dollaramount of the dividend will be divided by 95% of the market price on thedividend payment date. If, on the dividend payment date, the NAV isgreater than the market price per share plus estimated brokeragecommissions (such condition often referred to as a “market discount”), theReinvestment Plan Agent will invest the dividend amount in sharesacquired on behalf of the participants in open-market purchases. If theReinvestment Plan Agent is unable to invest the full dividend amount inopen-market purchases, or if the market discount shifts to a marketpremium during the purchase period, the Reinvestment Plan Agent willinvest any un-invested portion in newly issued shares. Investments innewly issued shares made in this manner would be made pursuant to thesame process described above and the date of issue for such newly issuedshares will substitute for the dividend payment date.

Participation in the Reinvestment Plan is completely voluntary and may beterminated or resumed at any time without penalty by notice if receivedand processed by the Reinvestment Plan Agent prior to the dividend recorddate. Additionally, the Reinvestment Plan Agent seeks to process noticesreceived after the record date but prior to the payable date and suchnotices often will become effective by the payable date. Where late noticesare not processed by the applicable payable date, such termination orresumption will be effective with respect to any subsequently declareddividend or other distribution.

The Reinvestment Plan Agent’s fees for the handling of the reinvestment ofdividends and distributions will be paid by each Trust. However, eachparticipant will pay a pro rata share of brokerage commissions incurredwith respect to the Reinvestment Plan Agent’s open market purchases inconnection with the reinvestment of dividends and distributions. Theautomatic reinvestment of dividends and distributions will not relieveparticipants of any federal income tax that may be payable on suchdividends or distributions.

Each Trust reserves the right to amend or terminate the ReinvestmentPlan. There is no direct service charge to participants in the ReinvestmentPlan. However, each Trust reserves the right to amend the ReinvestmentPlan to include a service charge payable by the participants. Participantsthat request a sale of shares are subject to a $2.50 sales fee and a$0.15 per share fee. Per share fees include any applicable brokeragecommissions the Reinvestment Plan Agent is required to pay. Allcorrespondence concerning the Reinvestment Plan should bedirected to Computershare Trust Company, N.A. through the internet athttp://www.computershare.com/blackrock, or in writing toComputershare, P.O. Box 30170, College Station, TX 77842-3170,Telephone: (800) 699-1236. Overnight correspondence should bedirected to the Reinvestment Plan Agent at Computershare, 211 QualityCircle, Suite 210, College Station, TX 77845.

Automatic Dividend Reinvestment Plans


Name, Address1

and Year of Birth

Position(s)Held withTrusts

Lengthof TimeServed asa Trustee3 Principal Occupation(s) During Past Five Years

Number of BlackRock-Advised RegisteredInvestment Companies(“RICs”) Consisting ofInvestment Portfolios(“Portfolios”) Overseen

PublicDirectorships

Independent Trustees2

Richard E. Cavanagh1946

Chairman ofthe Boardand Trustee

Since2007

Trustee, Aircraft Finance Trust from 1999 to 2009; Director, TheGuardian Life Insurance Company of America since 1998; Director,Arch Chemical (chemical and allied products) from 1999 to 2011;Trustee, Educational Testing Service from 1997 to 2009 andChairman thereof from 2005 to 2009; Senior Advisor, The FremontGroup since 2008 and Director thereof since 1996; FacultyMember/Adjunct Lecturer, Harvard University since 2007; Presidentand Chief Executive Officer, The Conference Board, Inc. (globalbusiness research organization) from 1995 to 2007.

82 RICs consisting of82 Portfolios

None

Karen P. Robards1950

ViceChairperson ofthe Board,Chairpersonof the AuditCommitteeand Trustee

Since2007

Partner of Robards & Company, LLC (financial advisory firm) since1987; Co-founder and Director of the Cooke Center for Learningand Development (a not-for-profit organization) since 1987;Director of Care Investment Trust, Inc. (health care real estateinvestment trust) from 2007 to 2010; Investment Banker at MorganStanley from 1976 to 1987.


AtriCure, Inc.(medical devices);Greenhill & Co., Inc.

Michael J. Castellano1946

Trustee andMember ofthe AuditCommittee

Since2011

Chief Financial Officer of Lazard Group LLC from 2001 to 2011;Chief Financial Officer of Lazard Ltd from 2004 to 2011; Director,Support Our Aging Religious (non-profit) since 2009; Director,National Advisory Board of Church Management at VillanovaUniversity since 2010; Trustee, Domestic Church Media Foundationsince 2012.


None

Frank J. Fabozzi4

1948Trustee andMember ofthe AuditCommittee

Since2007

Editor of and Consultant for The Journal of Portfolio Managementsince 2006; Professor of Finance, EDHEC Business School since2011; Professor in the Practice of Finance and Becton Fellow, YaleUniversity School of Management from 2006 to 2011; AdjunctProfessor of Finance and Becton Fellow, Yale University from 1994to 2006.


None

Kathleen F. Feldstein1941

Trustee Since2007

President of Economics Studies, Inc. (private economic consultingfirm) since 1987; Chair, Board of Trustees, McLean Hospital from2000 to 2008 and Trustee Emeritus thereof since 2008; Memberof the Board of Partners Community Healthcare, Inc. from 2005 to2009; Member of the Corporation of Partners HealthCare since1995; Trustee, Museum of Fine Arts, Boston since 1992; Memberof the Visiting Committee to the Harvard University Art Museumsince 2003; Director, Catholic Charities of Boston since 2009.


The McClatchyCompany(publishing)

James T. Flynn1939


Since2007

Chief Financial Officer of JPMorgan & Co., Inc. from 1990 to 1995. 82 RICs consisting of82 Portfolios

None

Jerrold B. Harris1942

Trustee Since2007

Trustee, Ursinus College since 2000; Director, Ducks Unlimited, Inc.(conservations) since 2013; Director, Troemner LLC (scientificequipment) since 2000; Director of Delta Waterfowl Foundationfrom 2010 to 2012; President and Chief Executive Officer, VWRScientific Products Corporation from 1990 to 1999.


BlackRock KelsoCapital Corp.(businessdevelopmentcompany)

R. Glenn Hubbard1958

Trustee Since2007

Dean, Columbia Business School since 2004; Faculty member,Columbia Business School since 1988.


ADP (data andinformation services);Metropolitan LifeInsurance Company(insurance)

Officers and Trustees


Name, Address1

and Year of Birth


Lengthof TimeServed asa Trustee3 Principal Occupation(s) During Past Five Years

Number of BlackRock-Advised RegisteredInvestment Companies(“RICs”) Consisting ofInvestment Portfolios(“Portfolios”) Overseen

PublicDirectorships

Independent Trustees2 (concluded)

W. Carl Kester1951


Since2007

George Fisher Baker Jr. Professor of Business Administration,Harvard Business School since 2008; Deputy Dean for AcademicAffairs from 2006 to 2010; Chairman of the Finance Unit, 2005 to2006; Senior Associate Dean and Chairman of the MBA Programfrom 1999 to 2005; Member of the faculty of Harvard BusinessSchool since 1981.


None

1 The address of each Trustee is c/o BlackRock, Inc., Park Avenue Plaza, 55 East 52nd Street, New York, NY 10055.

2 Independent Trustees serve until their resignation, removal or death, or until December 31 of the year in which they turn 74. The maximum agelimitation may be waived as to any Trustee by action of a majority of the Trustees upon finding good cause thereof. In 2013, the Board of Trusteesunanimously approved extending the mandatory retirement age for James T. Flynn by one additional year, which the Board believed would be in thebest interest of shareholders. Mr. Flynn can serve until December 31 of the year in which he turns 75. Mr. Flynn turns 75 in 2014.

3 Date shown is the earliest date a person has served for the Trusts covered by this annual report. Following the combination of Merrill LynchInvestment Managers, L.P. (“MLIM”) and BlackRock, Inc. (“BlackRock”) in September 2006, the various legacy MLIM and legacy BlackRock fundboards were realigned and consolidated into three new fund boards in 2007. As a result, although the chart shows certain Trustees as joining theTrusts’ board in 2007, those Trustees first became members of the boards of other legacy MLIM or legacy BlackRock funds as follows: Richard E.Cavanagh, 1994; Frank J. Fabozzi, 1988; Kathleen F. Feldstein, 2005; James T. Flynn, 1996; Jerrold B. Harris, 1999; R. Glenn Hubbard, 2004; W.Carl Kester, 1995 and Karen P. Robards, 1998.

4 Dr. Fabozzi is also a board member of the BlackRock Equity-Liquidity Complex.

Interested Trustees5

Paul L. Audet1953

Trustee Since2011

Senior Managing Director of BlackRock and Head of U.S. MutualFunds since 2011; Head of BlackRock’s Real Estate business from2008 to 2011; Member of BlackRock’s Global Operating andCorporate Risk Management Committees since 2008; Head ofBlackRock’s Global Cash Management business from 2005 to2010; Acting Chief Financial Officer of BlackRock from 2007 to2008; Chief Financial Officer of BlackRock from 1998 to 2005.


None

Henry Gabbay1947

Trustee Since2007

Consultant, BlackRock from 2007 to 2008; Managing Director,BlackRock from 1989 to 2007; Chief Administrative Officer,BlackRock Advisors, LLC from 1998 to 2007; President ofBlackRock Funds and BlackRock Allocation Target Shares (formerlyBlackRock Bond Allocation Target Shares) from 2005 to 2007;Treasurer of certain closed-end funds in the BlackRock fundcomplex from 1989 to 2006.


None

5 Mr. Audet is an “interested person,” as defined in the 1940 Act, of the Trusts based on his position with BlackRock and its affiliates as well as hisownership of BlackRock securities. Mr. Gabbay is an “interested person” of the Trusts based on his former positions with BlackRock and its affiliatesas well as his ownership of BlackRock and The PNC Financial Services Group, Inc. securities. Mr. Audet and Mr. Gabbay are also Directors of twocomplexes of BlackRock registered open-end funds, the BlackRock Equity-Liquidity Complex and the BlackRock Equity-Bond Complex. InterestedTrustees of the BlackRock Closed-End Complex serve until their resignation, removal or death, or until December 31 of the year in which they turn 72.The maximum age limitation may be waived as to any Trustee by action of a majority of the Trustees upon finding a good cause thereof.

Officers and Trustees (continued)


Name, Address1

and Year of Birth


Length ofTime Served Principal Occupation(s) During Past Five Years

Officers2

John M. Perlowski1964

President andChief ExecutiveOfficer

Since2011

Managing Director of BlackRock since 2009; Global Head of BlackRock Fund Services since 2009; ManagingDirector and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereoffrom 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family ResourceNetwork (charitable foundation) since 2009.

Brendan Kyne1977

VicePresident

Since2009

Managing Director of BlackRock, Inc. since 2010; Director of BlackRock, Inc. from 2008 to 2009; Head ofAmericas Product Development for BlackRock since 2013, Head of Product Development and Management forBlackRock’s U.S. Retail Group from 2009 to 2013 and Co-head thereof from 2007 to 2009; Vice President ofBlackRock, Inc. from 2005 to 2008.

Robert W. Crothers1981

VicePresident

Since2012

Director of BlackRock since 2011; Vice President of BlackRock from 2008 to 2010.

Neal Andrews1966

ChiefFinancialOfficer

Since2007

Managing Director of BlackRock since 2006; Senior Vice President and Line of Business Head of Fund Accountingand Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006.

Jay Fife1970

Treasurer Since2007

Managing Director of BlackRock since 2007; Director of BlackRock in 2006; Assistant Treasurer of the MLIM andFund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001to 2006.

Charles Park1967

Chief ComplianceOfficer andAnti-MoneyLaunderingOfficer

Since2014

Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the Equity-BondComplex, the Equity-Liquidity Complex and the Closed-End Complex since 2014; Principal of and Chief ComplianceOfficer for iSharesT Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors (“BFA”) since 2006;Chief Compliance Officer for the BFA-advised iShares exchange traded funds since 2006; Chief Compliance Officerfor BlackRock Asset Management International Inc. since 2012.

Janey Ahn1975

Secretary Since2012

Director of BlackRock since 2009; Vice President of BlackRock from 2008 to 2009; Assistant Secretary of theFunds from 2008 to 2012.

1 The address of each Officer is c/o BlackRock, Inc., Park Avenue Plaza, 55 East 52nd Street, New York, NY 10055.2 Officers of the Trusts serve at the pleasure of the Boards.

Effective June 6, 2014, Brian Kindelan resigned as Chief Compliance Officer and Anti-Money Laundering Officer of the Trusts and Charles Parkbecame Chief Compliance Officer and Anti-Money Laundering Officer of the Trusts.

Investment AdvisorBlackRock Advisors, LLCWilmington, DE 19809

Transfer AgentComputershare TrustCompany, N.A.Canton, MA 02021

Custodian and Accounting AgentState Street Bank and Trust CompanyBoston, MA 02110

Legal CounselSkadden, Arps, Slate, Meagher & Flom LLPNew York, NY 10036

Independent RegisteredPublic Accounting FirmDeloitte & Touche LLPBoston, MA 02116

Address of the Trusts100 Bellevue ParkwayWilmington, DE 19809

Officers and Trustees (concluded)


Proxy Results

The Annual Meeting of Shareholders was held on July 30, 2014 for shareholders of record on June 3, 2014, to elect trustee/director nominees for eachTrust/Fund. There were no broker non-votes with regard to any of the Trusts/Funds.

Approved the Class I Trustees as follows:

Paul L. Audet Michael J. Castellano R. Glenn Hubbard

Votes ForVotes

Withheld Abstain Votes ForVotes


Withheld AbstainBHK . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,228,799 875,766 0 20,255,029 849,536 0 20,237,030 867,535 0BNA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,070,856 2,044,610 0 25,060,735 2,054,731 0 25,065,822 2,049,644 0BKT . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45,954,235 4,539,165 0 46,035,529 4,457,871 0 45,985,101 4,508,299 0

W. Carl Kester

Votes ForVotes

Withheld AbstainBHK . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,235,184 869,381 0BNA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,098,245 2,017,221 0BKT . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46,005,939 4,487,461 0

For the Trusts listed above, Trustees whose term of office continued after the Annual Meeting of Shareholders because they were not up for election areRichard E. Cavanagh, Frank J. Fabozzi, Kathleen F. Feldstein, James T. Flynn, Henry Gabbay, Jerrold B. Harris and Karen P. Robards.

Approved the Trustees as follows:

Paul L. Audet Michael J. Castellano Richard E. Cavanagh

Votes ForVotes



Withheld AbstainHYT . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100,486,404 1,881,425 0 88,240,203 14,127,626 0 100,551,424 1,816,405 0

Frank J. Fabozzi Kathleen F. Feldstein James T. Flynn

Votes ForVotes




Henry Gabbay Jerrold B. Harris R. Glenn Hubbard

Votes ForVotes




W. Carl Kester Karen P. Robards

Votes ForVotes


Withheld AbstainHYT . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 88,297,842 14,069,987 0 88,258,695 14,109,134 0

Trust Certification

Certain Trusts are listed for trading on the NYSE and have filed with theNYSE their annual chief executive officer certification regardingcompliance with the NYSE’s listing standards. The Trusts filed with the SEC

the certification of their chief executive officer and chief financial officerrequired by section 302 of the Sarbanes-Oxley Act.

Additional Information


Dividend Policy

Each Trust’s dividend policy is to distribute all or a portion of its netinvestment income to its shareholders on a monthly basis. In order toprovide shareholders with a more stable level of dividend distributions, thedividends paid by the Trusts for any particular month may be more or lessthan the amount of net investment income earned by the Trusts duringsuch month. The portion of dividend distributions that exceeds a Trust’scurrent and accumulated earnings and profits, which are measured on atax basis, will constitute a nontaxable return on capital. Dividend

distributions in excess of a Trust’s taxable income and net capital gains,but not in excess of a Trust’s earnings and profits, will be taxable toshareholders as ordinary income and will not constitute a nontaxablereturn of capital. The Trusts’ current accumulated but undistributed netinvestment income, if any, is disclosed in the Statements of Assets andLiabilities, which comprises part of the financial information included inthis report.

General Information

The Trusts do not make available copies of their Statements of AdditionalInformation because the Trusts’ shares are not continuously offered, whichmeans that the Statement of Additional Information of each Trust has notbeen updated after completion of the respective Trust’s offerings and theinformation contained in each Trust’s Statement of Additional Informationmay have become outdated.

During the period, there were no material changes in the Trusts’ investmentobjectives or policies or to the Trusts’ charter or by-laws that would delayor prevent a change of control of the Trusts that were not approved byshareholders or in the principal risk factors associated with investment inthe Trusts. There have been no changes in the persons who are primarilyresponsible for the day-to-day management of the Trusts’ portfolios.

Quarterly performance, semi-annual and annual reports, currentnet asset value and other information regarding the Trusts maybe found on BlackRock’s website, which can be accessed athttp://www.blackrock.com. This reference to BlackRock’s website isintended to allow investors public access to information regarding theTrusts and does not, and is not intended to, incorporate BlackRock’swebsite in this report.

Electronic Delivery

Electronic copies of most financial reports are available on the Trusts’website or shareholders can sign up for e-mail notifications of quarterlystatements, annual and semi-annual reports by enrolling in the Trusts’electronic delivery program.

Shareholders Who Hold Accounts with Investment Advisors, Banks orBrokerages:

Please contact your financial advisor to enroll. Please note that not allinvestment advisors, banks or brokerages may offer this service.

Householding

The Trusts will mail only one copy of shareholder documents, includingannual and semi-annual reports and proxy statements, to shareholderswith multiple accounts at the same address. This practice is commonlycalled “householding” and is intended to reduce expenses and eliminateduplicate mailings of shareholder documents. Mailings of yourshareholder documents may be householded indefinitely unless youinstruct us otherwise. If you do not want the mailing of these documents tobe combined with those for other members of your household, please callthe Trusts at (800) 882-0052.

Availability of Quarterly Schedule of Investments

The Trusts file their complete schedule of portfolio holdings with the SECfor the first and third quarters of each fiscal year on Form N-Q. The Trusts’Forms N-Q are available on the SEC’s website at http://www.sec.gov andmay also be reviewed and copied at the SEC’s Public Reference Room inWashington, DC. Information on how to access documents on the SEC’swebsite without charge may be obtained by calling (800) SEC-0330. TheTrusts’ Forms N-Q may also be obtained upon request and without chargeby calling (800) 882-0052.

Additional Information (continued)


General Information (concluded)

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Trusts use todetermine how to vote proxies relating to portfolio securities is available(1) without charge, upon request, by calling (800) 882-0052; (2) athttp://www.blackrock.com; and (3) on the SEC’s website athttp://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Trusts voted proxies relating to securitiesheld in the Trusts’ portfolios during the most recent 12-month periodended June 30 is available upon request and without charge(1) at http://www.blackrock.com or by calling (800) 882-0052 and(2) on the SEC’s website at http://www.sec.gov.

Availability of Trust Updates

BlackRock will update performance and certain other data for the Trusts ona monthly basis on its website in the “Closed-end Funds” section ofhttp://www.blackrock.com as well as certain other material informationas necessary from time to time. Investors and others are advised toperiodically check the website for updated performance information andthe release of other material information about the Trusts. This reference toBlackRock’s website is intended to allow investors public access toinformation regarding the Trusts and does not, and is not intended to,incorporate BlackRock’s website in this report.

Shelf Offering Program

From time-to-time, each Trust may seek to raise additional equity capitalthrough an equity shelf program (a “Shelf Offering”). In a Shelf Offering, aTrust may, subject to market conditions, raise additional equity capital byissuing new Common Shares from time to time in varying amounts at a netprice at or above the Trust’s net asset value (“NAV”) per Common Share(calculated within 48 hours of pricing). While any such Shelf Offering mayallow a Trust to pursue additional investment opportunities without theneed to sell existing portfolio investments, it could also entail risks —including that the issuance of additional Common Shares may limit theextent to which the Common Shares are able to trade at a premium toNAV in the secondary market. Each Trust, other than HYT, has not filed aregistration statement with respect to any Shelf Offerings. This report is notan offer to sell Trust Common Shares and is not a solicitation of an offer tobuy Trust Common Shares. If a Trust files a registration with respect to anyShelf Offering, the prospectus contained therein will contain morecomplete information about the Trust and should be read carefullybefore investing.

On June 11, 2014, HYT filed a registration statement with the SEC to issueadditional HYT Common Shares through a Shelf Offering, which is not yeteffective. HYT may not sell any HYT Common Shares in a Shelf Offering untilthe registration statement filed with the SEC is effective. This report andthe preliminary prospectus are not offers to sell HYT Common Shares andare not solicitations of an offer to buy HYT Common Shares in anyjurisdiction where the offers or sales are not permitted. The preliminaryprospectus contains more complete information about HYT’s Shelf Offeringand should be read carefully before investing. The information in thepreliminary prospectus for HYT is not complete and may be amended orchanged. A copy of the final prospectus for HYT can be obtained fromBlackRock at http:// www.blackrock.com, when available.

Additional Information (continued)


BlackRock Privacy Principles

BlackRock is committed to maintaining the privacy of its current andformer fund investors and individual clients (collectively, “Clients”) and tosafeguarding their non-public personal information. The followinginformation is provided to help you understand what personal informationBlackRock collects, how we protect that information and why in certaincases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulationsrequire BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will complywith those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from andabout you from different sources, including the following: (i) informationwe receive from you or, if applicable, your financial intermediary, onapplications, forms or other documents; (ii) information about yourtransactions with us, our affiliates, or others; (iii) information we receivefrom a consumer reporting agency; and (iv) from visits to our websites.

BlackRock does not sell or disclose to non-affiliated third parties anynon-public personal information about its Clients, except as permitted bylaw or as is necessary to respond to regulatory requests or to service Clientaccounts. These non-affiliated third parties are required to protect theconfidentiality and security of this information and to use it only for itsintended purpose.

We may share information with our affiliates to service your account or toprovide you with information about other BlackRock products or servicesthat may be of interest to you. In addition, BlackRock restricts access tonon-public personal information about its Clients to those BlackRockemployees with a legitimate business need for the information. BlackRockmaintains physical, electronic and procedural safeguards that aredesigned to protect the non-public personal information of its Clients,including procedures relating to the proper storage and disposal ofsuch information.

Additional Information (concluded)


This report is intended for existing shareholders. It is not a prospectus. Past performance results shown in this report

should not be considered a representation of future performance. The Trusts have leveraged their Common Shares,

which creates risks for Common Shareholders, including the likelihood of greater volatility of net asset value and market

price of the Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares’

yield. Statements and other information herein are as dated and are subject to change.

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